References
- Ang, A. (2014). Asset management. A systematic approach to factor investing. New York: Oxford University Press.
- Bacinello, A. R., Millossovich, P. & Montealegre, A. (2014). The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours. Scandinavian Actuarial Journal. 2016, 446–465.
- Ben-Ameur, H., Breton, M., Karoui, L. & L’Ecuyer, P. (2007). A dynamic programming approach for pricing options embedded in bonds. Journal of Economic Dynamics & Control 31, 2212–2233.
- Biffis, E. & Millossovich, P. (2006). The fair value of guaranteed annuity options. Scandinavian Actuarial Journal 2006, 23–41.
- van Binsbergen, J. H., Broeders, D., de Jong, M. & Koijen, R. S. J. (2014). Collective pension schemes and individual choice. Journal of Pension Economics and Finance 13, 210–225.
- Björk, T. (2009). Arbitrage theory in continuous time, 3rd ed., New York: Oxford University Press.
- Bruhn, K. & Steffensen, M. (2013). Optimal smooth consumption and annuity design. Journal of Banking & Finance 37, 2693–2701.
- Denuit, M., Haberman, S. & Renshaw, A. (2011). Longevity-indexed life annuities. North American Actuarial Journal 15, 97–111.
- Donnelly, C. (2015). Actuarial fairness and solidatiry in pooled annuity funds. ASTIN Bulletin 45, 49–74.
- Gabay, D. & Grasselli, M. (2012). Fair demographic risk sharing in defined contribution pension systems. Journal of Economic Dynamics & Control 36, 657–669.
- Grosen, A. & Jørgensen, P. L. (2000). Fair valuation of life insurance liabilities: the impact of interest rate guarantees, surrender options, and bonus policies. Insurance: Mathematics and Economics 26, 37–57.
- Guillén, M., Jørgensen, P. L. & Nielsen, J. P. (2006). Return smoothing mechanisms in life and pension insurance: Path-dependent contingent claims. Insurance: Mathematics and Economics 38, 229–252.
- Hyndman, C. B. & Wenger, M. (2014). Valuation perspectives and decompositions for variable annuities with GMWB riders. Insurance: Mathematics and Economics 55, 283–290.
- Jarner, S. F. & Kryger, E. M. (2011). Modelling adult mortality in small populations: the SAINT model. ASTIN Bulletin 41, 377–418.
- Jarner, S. F. & Møller, T. (2015). A partial internal model for longevity risk. Scandinavian Actuarial Journal 2015, 352–382.
- Kryger, E. M. (2010). Pension fund design under long-term fairness constraints. The Geneva Risk and Insurance Review 35, 130–159.
- Kryger, E. M. (2011). Fairness vs. efficiency of pension schemes. European Actuarial Journal 1, 85–100.
- Maurer, R., Rogalla, R. & Siegelin, I. (2013). Participating payout life annuities: lessons from Germany. ASTIN Bulletin 43, 159–187.
- Missov, T. I. & Lenart, A. (2013). Gompertz--Makeham life expectancies: expressions and applications. Theoretical Population Biology 90, 29–35.
- Munk, C., Sørensen, C. & Vinther, T. N. (2004). Dynamic asset allocation under mean-reverting returns, stochastic interest rates, and inflation uncertainty: are popular recommendations consistent with rational behavior? International Review of Economics and Finance 13, 141–166.
- Ng, A. C.-Y. & Li, J. S.-H. (2013). Pricing and hedging variable annuity guarantees with multiasset stochastic investment models. North American Actuarial Journal 17, 41–62.
- OECD. (2013). Pensions at a Glance 2013: OECD and G20 Indicators, OECD Publishing. http://dx.doi.org/10.1787/pension_glance-2013-en
- Piggot, J., Valdez, E. A. & Datzel, B. (2005). The simple analytics of a pooled annuity fund. Journal of Risk and Insurance 72, 497–520.
- Richter, A. & Weber, F. (2011). Mortality-indexed annuities managing longevity risk via product design. North American Actuarial Journal 15, 212–236.
- Rocha, R., Vittas, D. & Rudolph, H. P. (2011). Annuities and other retirement products. Designing the payout phase. Washington: The World Bank.
- Tiong, S. (2013). Pricing inflation-linked variable annuities under stochastic interest rates. Insurance: Mathematics and Economics 52, 77–86.
- Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of Financial Economics 5, 177–188.
- Zaglauer, K. & Bauer, D. (2008). Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment. Insurance: Mathematics and Economics 43, 29–40.