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

DOI10.1016/J.INSMATHECO.2017.07.002zbMath1395.91258OpenAlexW2100267464MaRDI QIDQ2404542

Francesco Menoncin, Luca Regis

Publication date: 19 September 2017

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.07.002

zbMATH Keywords

portfolio choicelongevity riskstochastic mortalityHARA preferenceslongevity-linked assetpre-retirement savings

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (12)

Optimal life-cycle consumption and investment decisions under age-dependent risk preferences ⋮ Demand for longevity securities under relative performance concerns: stochastic differential games with cointegration ⋮ Mortality options: the point of view of an insurer ⋮ Hedging longevity risk in defined contribution pension schemes ⋮ Optimal post-retirement consumption and portfolio choices with idiosyncratic individual mortality force and awareness of mortality risk ⋮ Optimal assets allocation and benefit adjustment strategy with longevity risk for target benefit pension plans ⋮ Robust retirement and life insurance with inflation risk and model ambiguity ⋮ Existence of optimal consumption strategies in markets with longevity risk ⋮ Optimal strategies for target benefit pension plans with longevity risk in ambiguous environments ⋮ Pension funds with longevity risk: an optimal portfolio insurance approach ⋮ Optimal stopping time, consumption, labour, and portfolio decision for a pension scheme ⋮ Calibrating Gompertz in reverse: what is your longevity-risk-adjusted global age?

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