메뉴 건너뛰기




Volumn 32, Issue 3, 2008, Pages 382-392

Optimal pension insurance design

Author keywords

Household finance; Life and pension insurance; Portfolio choice; Prospect theory

Indexed keywords


EID: 40149104956     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2007.05.006     Document Type: Article
Times cited : (46)

References (21)
  • 1
    • 0001096696 scopus 로고
    • Equilibrium in a reinsurance market
    • Borch K. Equilibrium in a reinsurance market. Econometrica 30 (1962) 424-444
    • (1962) Econometrica , vol.30 , pp. 424-444
    • Borch, K.1
  • 3
    • 0001018312 scopus 로고
    • The pricing of equity-linked life insurance policies with an asset value guarantee
    • Brennan M.J., and Schwartz E.S. The pricing of equity-linked life insurance policies with an asset value guarantee. Journal of Financial Economics 3 (1976) 195-213
    • (1976) Journal of Financial Economics , vol.3 , pp. 195-213
    • Brennan, M.J.1    Schwartz, E.S.2
  • 4
    • 0010659127 scopus 로고
    • Life insurance in a contingent claim framework: pricing and regulatory implications
    • Briys E., and de Varenne F. Life insurance in a contingent claim framework: pricing and regulatory implications. The Geneva Papers on Risk and Insurance Theory 19 (1994) 53-72
    • (1994) The Geneva Papers on Risk and Insurance Theory , vol.19 , pp. 53-72
    • Briys, E.1    de Varenne, F.2
  • 6
    • 0000935059 scopus 로고
    • Violations of the betweenness axiom and nonlinearity in probability
    • Camerer C.F., and Ho T.-H. Violations of the betweenness axiom and nonlinearity in probability. Journal of Risk and Uncertainty 8 (1994) 167-196
    • (1994) Journal of Risk and Uncertainty , vol.8 , pp. 167-196
    • Camerer, C.F.1    Ho, T.-H.2
  • 7
    • 33746814380 scopus 로고    scopus 로고
    • Household finance
    • Campbell J.Y. Household finance. Journal of Finance 61 (2006) 1553-1604
    • (2006) Journal of Finance , vol.61 , pp. 1553-1604
    • Campbell, J.Y.1
  • 8
    • 33144475956 scopus 로고    scopus 로고
    • Asset and liability management for insurance products with minimum guarantees: The UK case
    • Consiglio A., Saunders D., and Zenios S.A. Asset and liability management for insurance products with minimum guarantees: The UK case. Journal of Banking and Finance 30 (2006) 645-667
    • (2006) Journal of Banking and Finance , vol.30 , pp. 645-667
    • Consiglio, A.1    Saunders, D.2    Zenios, S.A.3
  • 9
    • 11144301875 scopus 로고    scopus 로고
    • Portfolio choice and trading volume with loss-averse investors
    • Gomes F.J. Portfolio choice and trading volume with loss-averse investors. Journal of Business 78 2 (2005)
    • (2005) Journal of Business , vol.78 , Issue.2
    • Gomes, F.J.1
  • 10
    • 0003019365 scopus 로고    scopus 로고
    • Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
    • Grosen A., and Jørgensen P. Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies. Insurance: Mathematics and Economics 26 (2000) 37-57
    • (2000) Insurance: Mathematics and Economics , vol.26 , pp. 37-57
    • Grosen, A.1    Jørgensen, P.2
  • 11
  • 12
    • 38649141305 scopus 로고
    • Martingales and arbitrage in multiperiod securities markets
    • Harrison J.M., and Kreps D.M. Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory 20 (1979) 381-408
    • (1979) Journal of Economic Theory , vol.20 , pp. 381-408
    • Harrison, J.M.1    Kreps, D.M.2
  • 13
    • 4043111606 scopus 로고    scopus 로고
    • Paying for minimum interest rate guarantees: Who should compensate who?
    • Jensen B.A., and Sørensen C. Paying for minimum interest rate guarantees: Who should compensate who?. European Financial Management 7 (2001) 183-211
    • (2001) European Financial Management , vol.7 , pp. 183-211
    • Jensen, B.A.1    Sørensen, C.2
  • 14
    • 0011090049 scopus 로고
    • Optimum consumption and portfolio rules in a continuous-time model
    • Merton R.C. Optimum consumption and portfolio rules in a continuous-time model. Journal of Economic Theory 3 (1971) 373-413
    • (1971) Journal of Economic Theory , vol.3 , pp. 373-413
    • Merton, R.C.1
  • 15
    • 75949094592 scopus 로고    scopus 로고
    • Guaranteed investment contracts: Distributed and undistributed excess return
    • Miltersen K.R., and Persson S.-A. Guaranteed investment contracts: Distributed and undistributed excess return. Scandinavian Actuarial Journal 4 (2003) 257-279
    • (2003) Scandinavian Actuarial Journal , vol.4 , pp. 257-279
    • Miltersen, K.R.1    Persson, S.-A.2
  • 17
    • 0001750296 scopus 로고    scopus 로고
    • The probability weighting function
    • Prelec D. The probability weighting function. Econometrica 60 (1998) 497-528
    • (1998) Econometrica , vol.60 , pp. 497-528
    • Prelec, D.1
  • 18
    • 0016997122 scopus 로고
    • The valuation of uncertain income streams and the pricing of options
    • Rubinstein M. The valuation of uncertain income streams and the pricing of options. Bell Journal of Economics 7 (1976) 407-425
    • (1976) Bell Journal of Economics , vol.7 , pp. 407-425
    • Rubinstein, M.1
  • 19
    • 31744450082 scopus 로고
    • Advances in prospect theory: Cumulative representation of uncertainty
    • Tversky A., and Kahneman D. Advances in prospect theory: Cumulative representation of uncertainty. Journal of Risk and Uncertainty 5 (1992) 297-323
    • (1992) Journal of Risk and Uncertainty , vol.5 , pp. 297-323
    • Tversky, A.1    Kahneman, D.2
  • 20
    • 84884079276 scopus 로고
    • Theory of Games and Economic Behavior
    • Princeton University Press, Princeton, NJ
    • von Neumann J., and Morgenstern O. Theory of Games and Economic Behavior. 1953 ed. (1944), Princeton University Press, Princeton, NJ
    • (1944) 1953 ed.
    • von Neumann, J.1    Morgenstern, O.2
  • 21
    • 0001126729 scopus 로고    scopus 로고
    • Curvature of the probability weighting function
    • Wu G., and Gonzalez R. Curvature of the probability weighting function. Management Science 42 (1996) 1676-1690
    • (1996) Management Science , vol.42 , pp. 1676-1690
    • Wu, G.1    Gonzalez, R.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.