scholarly journals ON THE OPTIMAL COMBINATION OF ANNUITIES AND TONTINES

2020 ◽  
Vol 50 (1) ◽  
pp. 95-129 ◽  
Author(s):  
An Chen ◽  
Manuel Rach ◽  
Thorsten Sehner
Keyword(s):  
Expected Utility ◽  
Optimal Combination ◽  
Optimal Portfolio ◽  
Longevity Risk ◽  
Retirement Income ◽  
The Novel ◽  
Retirement Plan

AbstractTontines, retirement products constructed in such a way that the longevity risk is shared in a pool of policyholders, have recently gained vast attention from researchers and practitioners. Typically, these products are cheaper than annuities, but do not provide stable payments to policyholders. This raises the question whether, from the policyholders' viewpoint, the advantages of annuities and tontines can be combined to form a retirement plan which is cheaper than an annuity, but provides a less volatile retirement income than a tontine. In this article, we analyze and compare three approaches of combining annuities and tontines in an expected utility framework: the previously introduced “tonuity”, a product very similar to the tonuity which we call “antine” and a portfolio consisting of an annuity and a tontine. We show that the payoffs of a tonuity and an antine can be replicated by a portfolio consisting of an annuity and a tontine. Consequently, policyholders achieve higher expected utility levels when choosing the portfolio over the novel retirement products tonuity and antine. Further, we derive conditions on the premium loadings of annuities and tontines indicating when the optimal portfolio is investing a positive amount in both annuity and tontine, and when the optimal portfolio turns out to be a pure annuity or a pure tontine.

Conventions, Operations, Predictions

2018 ◽  
pp. 193-214
Author(s):  
Ivan Moscati
Keyword(s):  
Expected Utility ◽  
Utility Theory ◽  
Choice Behavior ◽  
Expected Utility Theory ◽  
The Novel ◽  
Utility Analysis ◽  
Utility Measurement ◽  
The Third ◽  
Third Phase ◽  
Ordinal Utility

Chapter 12 analyzes the third phase of the debate on expected utility theory, from the end of 1952 to 1955. The issues concerning the nature of utility measurement gained an autonomous status in this phase. Milton Friedman, Leonard J. Savage, Robert Strotz, Armen Alchian, and Daniel Ellsberg argued that measuring utility consists of assigning numbers to objects by following a definite set of operations. While the particular way of assigning utility numbers to objects is largely arbitrary and conventional, the assigned numbers should allow economists to predict individuals’ choice behavior. This is similar to the operational conception advanced by psychologist Stanley Smith Stevens and definitively liberates utility measurement from its remaining ties with units and ratios. The novel view of measurement quickly became standard among mainstream utility theorists, and its success helps explain the peaceful cohabitation of cardinal and ordinal utility within utility analysis that began in the mid-1950s.

OPTIMAL PORTFOLIO UNDER STATE-DEPENDENT EXPECTED UTILITY

2018 ◽  
Vol 21 (03) ◽  
pp. 1850013 ◽  
Author(s):  
CAROLE BERNARD ◽  
STEVEN VANDUFFEL ◽  
JIANG YE
Keyword(s):  
Portfolio Choice ◽  
Expected Utility ◽  
Loss Aversion ◽  
Reference Point ◽  
Joint Distribution ◽  
Optimal Portfolio ◽  
Characterization Result ◽  
Terminal Wealth ◽  
Utility Maximizer ◽  
State Dependent

We derive the optimal portfolio for an expected utility maximizer whose utility does not only depend on terminal wealth but also on some random benchmark (state-dependent utility). We then apply this result to obtain the optimal portfolio of a loss-averse investor with a random reference point (extending a result of Berkelaar et al. (2004) Optimal portfolio choice under loss aversion, The Review of Economics and Statistics 86 (4), 973–987). Clearly, the optimal portfolio has some joint distribution with the benchmark and we show that it is the cheapest possible in having this distribution. This characterization result allows us to infer the state-dependent utility function that explains the demand for a given (joint) distribution.

Anticipative portfolio optimization

1996 ◽  
Vol 28 (04) ◽  
pp. 1095-1122 ◽  
Author(s):  
Igor Pikovsky ◽  
Ioannis Karatzas
Keyword(s):  
Brownian Motion ◽  
Control Problem ◽  
Closed Form ◽  
Portfolio Optimization ◽  
Stochastic Control ◽  
Financial Economics ◽  
Optimal Portfolio ◽  
The Novel ◽  
Terminal Wealth ◽  
Terminal Values

We study a classical stochastic control problem arising in financial economics: to maximize expected logarithmic utility from terminal wealth and/or consumption. The novel feature of our work is that the portfolio is allowed to anticipate the future, i.e. the terminal values of the prices, or of the driving Brownian motion, are known to the investor, either exactly or with some uncertainty. Results on the finiteness of the value of the control problem are obtained in various setups, using techniques from the so-called enlargement of filtrations. When the value of the problem is finite, we compute it explicitly and exhibit an optimal portfolio in closed form.

Development of Novel Rotary Magnetic Encoder

2019 ◽  
Author(s):  
Kai-Yang Peng ◽  
Jen-Yuan (James) Chang
Keyword(s):  
Permanent Magnets ◽  
Ferromagnetic Material ◽  
Optimal Combination ◽  
Design Parameters ◽  
The Novel ◽  
Spindle Shaft ◽  
Numerical Finite Element ◽  
Development And Validation ◽  
Accuracy Performance ◽  
Displacement Measurements

Abstract This paper discussed the development and validation of a new rotary magnetic encoder for measurement of spindle’s axial displacements. The novelty of this work is on the design of permanent magnets as the magnetizing source to produce alternative magnetic polarities on ferromagnetic material electroplated on disk/ring-like flange that is attached to the targeted spindle shaft. Through mechatronics integration and numerical finite element parameter studies, the optimal combination of the magnetizer design parameters with consideration of the arrangement of magnetoresistive (MR) elements is reached to produce the novel encoding magnetic patterns for the axial displacement measurements. The effectiveness of the proposed method is further validated through calibrated experiments leading to the conclusion of reaching 10um accuracy performance in the measurement of the spindle’s axial elongation.

scholarly journals Evidence on individual preferences for longevity risk

2015 ◽  
Vol 15 (2) ◽  
pp. 160-179 ◽  
Author(s):  
G. DELPRAT ◽  
M.-L. LEROUX ◽  
P.-C. MICHAUD
Keyword(s):  
Risk Aversion ◽  
Expected Utility ◽  
Intertemporal Choice ◽  
Empirical Support ◽  
Longevity Risk ◽  
Or Education ◽  
The Us ◽  
The Standard Model ◽  
Degree Of Risk ◽  
Length Of Life

AbstractThe standard model of intertemporal choice assumes risk neutrality towards the length of life: under additivity of lifetime utility and expected utility assumptions, agents are not sensitive to a mean preserving spread in the length of life. Using a survey fielded in the RAND American Life Panel, this paper provides empirical evidence on possible deviation from risk neutrality with respect to longevity in the US population. The questions we ask allow to find the distribution as well as to quantify the degree of risk aversion with respect to the length of life in the population. We find evidence that roughly 75% of respondents were not neutral with respect to longevity risk. Hence, there is a little empirical support for the joint use of the expected utility and additive lifetime utility assumptions in life-cycle models. Higher income households are more likely to be risk averse towards the length of life. We do not find evidence that the degree of risk aversion varies with age or education.

scholarly journals Optimal Combination of Aircraft Maintenance Tasks by a Novel Simplex Optimization Method

2015 ◽  
Vol 2015 ◽  
pp. 1-19
Author(s):  
Huaiyuan Li ◽  
Hongfu Zuo ◽  
Dan Lei ◽  
Kun Liang ◽  
Tingting Lu
Keyword(s):  
Clustering Algorithm ◽  
Optimization Method ◽  
Optimal Combination ◽  
Maintenance Cost ◽  
The Novel ◽  
Simplex Optimization ◽  
Fuzzy C Means ◽  
Clustering Model ◽  
Fuzzy C Means Clustering ◽  
Novel Method

Combining maintenance tasks into work packages is not only necessary for arranging maintenance activities, but also critical for the reduction of maintenance cost. In order to optimize the combination of maintenance tasks by fuzzy C-means clustering algorithm, an improved fuzzy C-means clustering model is introduced in this paper. In order to reduce the dimension, variables representing clustering centers are eliminated in the improved cluster model. So the improved clustering model can be directly solved by the optimization method. To optimize the clustering model, a novel nonlinear simplex optimization method is also proposed in this paper. The novel method searches along all rays emitting from the center to each vertex, and those search directions are rightlyn+1positive basis. The algorithm has both theoretical convergence and good experimental effect. Taking the optimal combination of some maintenance tasks of a certain aircraft as an instance, the novel simplex optimization method and the clustering model both exhibit excellent performance.

Optimal Portfolio Under State-Dependent Expected Utility

2018 ◽  
Author(s):  
Carole Bernard ◽  
Steven Vanduffel ◽  
Jiang Ye
Keyword(s):  
Expected Utility ◽  
Optimal Portfolio ◽  
State Dependent
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