17 citations · 29 across the 11 of their papers we have counts for
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q-fin.MF2021★ 2 cited
Decrease of capital guarantees in life insurance products: can reinsurance stop it?
Marcos Escobar-Anel, Yevhen Havrylenko, Michel Kschonnek +1
We analyze the potential of reinsurance for reversing the current trend of decreasing capital guarantees in life insurance products. Providing an insurer with an opportunity to shi…
q-fin.MF2019★ 17 cited
Optimal life-cycle consumption and investment decisions under age-dependent risk preferences
Andreas Lichtenstern, Pavel V. Shevchenko, Rudi Zagst
In this article we solve the problem of maximizing the expected utility of future consumption and terminal wealth to determine the optimal pension or life-cycle fund strategy for a…