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q-fin.PM2021
On the Investment Strategies in Occupational Pension Plans
Frank Bosserhoff, An Chen, Nils Sorensen +1
Demographic changes increase the necessity to base the pension system more and more on the second and the third pillar, namely the occupational and private pension plans; this pape…
q-fin.PM2019
Mean-variance hedging of unit linked life insurance contracts in a jump-diffusion model
Frank Bosserhoff, Mitja Stadje
We consider a time-consistent mean-variance portfolio selection problem of an insurer and allow for the incorporation of basis (mortality) risk. The optimal solution is identified…