We study an asset allocation stochastic problem for a defined-contribution pension plan during the accumulation phase. We consider a financial market composed of a risk-free asset, an inflation-linked bond and the risky asset. The fund manager aims to maximize the expected power utility derived from the terminal wealth. Our solution allows one to incorporate a clause which allows for the distribution of a member’s premiums to his surviving dependents, should the member die before retirement. Besides the mortality risk, our optimization problem takes into account salary and the inflation risks. We then obtain closed form solutions for the asset allocation problem using a sufficient maximum principle approach for the problem with partial information. Finally, we give a numerical example.

In this paper, a theoretical method is empirically illustrated in finding the best time to forsake a loan such that the overall credit loss is minimized.

A computable general equilibrium (CGE) model is used as a regulatory tool for the banking sector in South Africa. The model is used to determine the effects of regulatory penalties, capital adequacy requirements (CAR) and the monetary policy on the economy. Our results indicate that there is a trade-off between the default and the CAR regulation. For example, when reducing the default penalty, the banks' profits increase, whereas reducing the CAR violation penalty, banks' profits decrease. Changes to the default penalty have a stronger impact than changes in the CAR violation penalty (i.e. when both penalties are reduced, the banks' profits increase). Moreover, regulatory policies that are targeted at different banks produce asymmetric results, as well capitalised banks with richer portfolios swiftly readjust their balance sheet and transfer the default externality to the more constrained banks and/or the private sector agents.

We study weak mixing of all orders for asymptotically abelian weakly mixing state preserving C*-dynamical systems, where the dynamics is given by the action of an abelian second countable locally compact group which contains a Folner sequence satisfying the Tempelman condition. For a smaller class of groups (which include Z^q and R^q) this is then used to show that an asymptotically abelian ergodic W*-dynamical system either has the "Szemeredi property" or contains a nontrivial subsystem (a "compact factor") that does. A van der Corput lemma for Hilbert space valued functions on the group is one of our main technical tools.

While insurers are not typically the most significant contributors to systemic risk, their actions and behaviour may materially contribute to such risk. This study considers the models that may be used to detect systemic risk originating in the insurance market and proposes a framework for identifying and classifying the sources of systemic risk attributable to insurers. It applies this framework to the insurance market in South Africa, in the process providing practical recommendations for consideration by all regulators.