36 citations · 36 across the 1 of their papers we have counts for
3 papers
q-fin.RM2020★ 36 cited
Quantifying the trade-off between income stability and the number of members in a pooled annuity fund
Thomas Bernhardt, Catherine Donnelly
The number of people who receive a stable income for life from a closed pooled annuity fund is studied. Income stability is defined as keeping the income within a specified toleran…
q-fin.PM2019
Modern tontine with bequest: innovation in pooled annuity products
Thomas Bernhardt, Catherine Donnelly
We introduce a new pension product that offers retirees the opportunity for a lifelong income and a bequest for their estate. Based on a tontine mechanism, the product divides pens…
math.PR2019
Discretionary stopping of stochastic differential equations with generalised drift
Mihail Zervos, Neofytos Rodosthenous, Pui Chan Lon +1
We consider the problem of optimally stopping a general one-dimensional stochastic differential equation (SDE) with generalised drift over an infinite time horizon. First, we deriv…