49 citations · 153 across the 6 of their papers we have counts for
6 papers
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…
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…
Actuarial fairness and solidarity in pooled annuity funds
Catherine Donnelly
Various types of structures that enable a group of individuals to pool their mortality risk have been proposed in the literature. Collectively, the structures are called pooled ann…
Quantifying mortality risk in small defined-benefit pension schemes
Catherine Donnelly
A risk of small defined-benefit pension schemes is that there are too few members to eliminate idiosyncratic mortality risk, that is there are too few members to effectively pool m…
Sufficient stochastic maximum principle in a regime-switching diffusion model
Catherine Donnelly
We prove a sufficient stochastic maximum principle for the optimal control of a regime-switching diffusion model. We show the connection to dynamic programming and we apply the res…
Good-deal bounds in a regime-switching diffusion market
Catherine Donnelly
We consider option pricing in a regime-switching diffusion market. As the market is incomplete, there is no unique price for a derivative. We apply the good-deal pricing bounds ide…