https://hdl.handle.net/2072/478941 Thu, 09 Apr 2026 02:36:09 GMT 2026-04-09T02:36:09Z https://hdl.handle.net/2445/97867 On the practical implementation of retirement gains by using an upside and a downside terminal wealth constraint Donnelly, Catherine; Guillén, Montserrat; Nielsen, Jens Perch; Pérez Marín, Ana María We analyze an investment strategy for an investor with a savings plan for retirement consisting on constraining the terminal wealth accumulated after the savings period by setting an upper and lower bound. We carry out a simulation of the terminal wealth after a savings period of thirty years by using daily, monthly, weekly and yearly updates. We calculate the percentiles of the final wealth and the corresponding lifetime annuity that the pension saver will receive during the consumption period. We observe how that the simulated values converge to the theoretical values of the percentiles when the frequency of update increases. Finally, in the numerical example the effect of inflaction is also considered. Tue, 26 Apr 2016 08:01:34 GMT https://hdl.handle.net/2445/97867 2016-04-26T08:01:34Z https://hdl.handle.net/2445/97861 Less is more: increasing retirement gains by using an upside terminal wealth constraint Donnelly, Catherine; Gerrard, Russell; Guillén, Montserrat; Nielsen, Jens Perch We solve a portfolio selection problem of an investor with a deterministic savings plan who aims to have a target wealth value at retirement. The investor is an expected power utility-maximizer. The target wealth value is the maximum wealth that the investor can have at retirement. By constraining the investor to have no more than the target wealth at retirement, we find that the lower quartiles of the terminal wealth distribution increase, so the risk of poor financial outcomes is reduced. The drawback of the optimal strategy is that the possibility of gains above the target wealth are eliminated. Tue, 26 Apr 2016 07:02:48 GMT https://hdl.handle.net/2445/97861 2016-04-26T07:02:48Z https://hdl.handle.net/2445/97864 What attitudes to risk underlie distortion risk measure choices? [WP] Belles Sampera, Jaume; Guillén, Montserrat; Santolino, Miguel Understanding the attitude to risk implicit within a risk measure sheds some light on the way in which decision makers perceive losses. In this paper, a two-stage strategy is developed to characterize the underlying risk attitude involved in a risk evaluation, when executed by the family of distortion risk measures. First, we show that aggregation indicators defined for discrete Choquet integrals provide informa- tion about the implicit global risk attitude of the agent. Second, an analysis of the distortion function offers a local description of the agent's stance on risk in relation to the occurrence of accumulated losses. Here, the concepts of absolute risk attitude and local risk attitude arise naturally. An example is provided to illustrate the usefulness of this strategy for characterizing risk attitudes in an insurance company. Tue, 26 Apr 2016 07:48:53 GMT https://hdl.handle.net/2445/97864 2016-04-26T07:48:53Z https://hdl.handle.net/2445/97866 Is the educational health gap increasing for women? Results from Catalonia (Spain) Solé i Auró, Aïda; Alcañiz, Manuela Health expectancies vary worldwide according to socioeconomic status (SES). The lower SES usually show health disadvantage and the higher SES a health advantage compared to the average. The educational level of individuals is strongly linked to their SES. Tue, 26 Apr 2016 07:56:15 GMT https://hdl.handle.net/2445/97866 2016-04-26T07:56:15Z