A note on bequest preferences in utility maximisation for modern tontines
Fuente:
arXiv
Saved in:
| Main Author: | |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866912189842980864 |
|---|---|
| author | Bernhardt, Thomas |
| author_facet | Bernhardt, Thomas |
| contents | In this short note, we address two issues in the literature about modern tontines with bequest and utility maximisation: how to verify optimal controls and the decreasing allocation of funds in the tontine. We want to raise awareness in the actuarial community about the dual approach to solve optimal control problems when working with power utilities. Additionally, we point out that bequest preferences should be time-dependent or otherwise yield unrealistic investment strategies. We base our attempt at modelling bequest preferences on common sense rules like 100% payback upon death at the start that vanishes over time. Our modelling shows that the resulting investment strategy almost linearly adjusts the allocation in the tontine from 0% to 100% over time. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2501_08972 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | A note on bequest preferences in utility maximisation for modern tontines Bernhardt, Thomas Risk Management 91G05 In this short note, we address two issues in the literature about modern tontines with bequest and utility maximisation: how to verify optimal controls and the decreasing allocation of funds in the tontine. We want to raise awareness in the actuarial community about the dual approach to solve optimal control problems when working with power utilities. Additionally, we point out that bequest preferences should be time-dependent or otherwise yield unrealistic investment strategies. We base our attempt at modelling bequest preferences on common sense rules like 100% payback upon death at the start that vanishes over time. Our modelling shows that the resulting investment strategy almost linearly adjusts the allocation in the tontine from 0% to 100% over time. |
| title | A note on bequest preferences in utility maximisation for modern tontines |
| topic | Risk Management 91G05 |
| url | https://arxiv.org/abs/2501.08972 |