49 citations · 86 across the 7 of their papers we have counts for
Showing 2019Show all
2 papers · 1 filter
q-fin.PM2019★ 49 cited
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…