Hedging longevity risk in defined contribution pension schemes (Q6088770): Difference between revisions

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scientific article; zbMATH DE number 7778014

Language	Label	Description	Also known as
English	Hedging longevity risk in defined contribution pension schemes	scientific article; zbMATH DE number 7778014

Statements

scholarly article

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Hedging longevity risk in defined contribution pension schemes (English)

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Christian-Oliver Ewald

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Computational Management Science

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publication date

14 December 2023

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full work available at URL

https://arxiv.org/abs/1904.10229

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zbMATH Keywords

defined contribution pension scheme

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longevity bond

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stochastic control

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dynamic programming principle

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MaRDI profile type

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Optimal pension management in a stochastic framework.

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A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities

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OPTIMAL INVESTMENT DECISIONS FOR A PORTFOLIO WITH A ROLLING HORIZON BOND AND A DISCOUNT BOND

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Risk-Sensitive ICAPM With Application to Fixed-Income Management

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Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers

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A bidimensional approach to mortality risk

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The fair value of guaranteed annuity options

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Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund

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Guaranteed Annuity Options

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Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time

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Constrained non-concave utility maximization: an application to life insurance contracts with guarantees

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A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)

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Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk

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Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts

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GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES

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Existence of optimal consumption strategies in markets with longevity risk

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Optimal investment strategies in the presence of a minimum guarantee.

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Credit risk modeling with affine processes

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An optimal stochastic control framework for determining the cost of hedging of variable annuities

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Stochastic optimal control of DC pension funds

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Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework

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Optimal asset allocation for DC pension plans under inflation

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Individual post-retirement longevity risk management under systematic mortality risk

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Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection

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Valuing guaranteed minimum accumulation benefits by a change of numéraire approach

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Valuation perspectives and decompositions for variable annuities with GMWB riders

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Optimal portfolios with stochastic interest rates and defaultable assets.

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Modeling and Forecasting U.S. Mortality

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Optimal investment strategies for participating contracts

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Delta-gamma hedging of mortality and interest rate risk

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The Valuation of a Guaranteed Minimum Maturity Benefit under a Regime-Switching Framework

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The role of longevity bonds in optimal portfolios

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Longevity-linked assets and pre-retirement consumption/portfolio decisions

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Mortality derivatives and the option to annuitise.

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Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts

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Pricing and hedging guaranteed annuity options via static option replication.

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Continuous-time stochastic control and optimization with financial applications

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A cohort-based extension to the Lee-Carter model for mortality reduction factors

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Calibrating affine stochastic mortality models using term assurance premiums

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Self-Financing Trading Strategies for Sliding, Rolling-Horizon, and Consol Bonds

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Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options

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Squared Bessel processes and their applications to the square root interest rate model

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Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits

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Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee

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Valuation of guaranteed annuity options using a stochastic volatility model for equity prices

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Optimal asset allocation for participating contracts with mortality risk under minimum guarantee

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Mean reversion in stochastic mortality: why and how?

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A stochastic volatility model and optimal portfolio selection

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Identifiers

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1007/S10287-023-00440-8

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Sitelinks

Mathematics(1 entry)

mardi Publication:6088770

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