49 citations · 86 across the 7 of their papers we have counts for
7 papers
A note on bequest preferences in utility maximisation for modern tontines
Thomas Bernhardt
In this short note, we address two issues in the literature about modern tontines with bequest and utility maximisation: how to verify optimal controls and the decreasing allocatio…
On Watanabe's characterisation and change of intensity à la Girsanov for Cox processes
Dirk Becherer, Thomas Bernhardt, Pavel Gapeev
We discuss the equivalence of definitions for conditional Poisson processes, Cox processes, and stochastic intensities of point processes on the real line. We show that Watanabe's…
Wealth heterogeneity in a closed pooled annuity fund
Thomas Bernhardt, Ge Qu
The stability of income payments in a pooled annuity fund is studied. In those funds, members receive a fluctuating income depending on their experienced mortality in exchange for…
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…
On the Continuity of the Root Barrier
Erhan Bayraktar, Thomas Bernhardt
We show that the barrier function in Root's solution to the Skorokhod embedding problem is continuous and finite at every point where the target measure has no atom and its absolut…
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…
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…