Lifetime asset allocation with idiosyncratic and systematic mortality risks
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Publication:4583595
Recommendations
- Longevity risk management for individual investors
- Longevity-linked assets and pre-retirement consumption/portfolio decisions
- Asset demands and consumption with longevity risk
- Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
- Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases
Cites work
- Affine processes for dynamic mortality and actuarial valuations
- Affine stochastic mortality
- Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting
- Consistent dynamic affine mortality models for longevity risk applications
- Existence of optimal consumption strategies in markets with longevity risk
- Individual post-retirement longevity risk management under systematic mortality risk
- Longevity bond pricing under stochastic interest rate and mortality with regime-switching
- Markov aging process and phase-type law of mortality
- Modeling and forecasting U.S. mortality. (With discussion)
- Mortality modelling with Lévy processes
- Mortality regimes and pricing
- ON THE STABILITY OF CONTINUOUS‐TIME PORTFOLIO PROBLEMS WITH STOCHASTIC OPPORTUNITY SET
- Optimal consumption, investment and life insurance with surrender option guarantee
- Optimal investment and consumption decision of a family with life insurance
- Optimal investment, consumption and life insurance under mean-reverting returns: the complete market solution
- Optimal investment-consumption-insurance with random parameters
- Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
- Optimal retirement consumption with a stochastic force of mortality
- Optimum consumption and portfolio rules in a continuous-time model
- Squared Bessel processes and their applications to the square root interest rate model
- Stochastic differential equations, backward SDEs, partial differential equations
- Stochastic differential equations. An introduction with applications.
- Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
- The role of longevity bonds in optimal portfolios
Cited in
(14)- Optimal post-retirement consumption and portfolio choices with idiosyncratic individual mortality force and awareness of mortality risk
- Existence of optimal consumption strategies in markets with longevity risk
- Optimal decision of dynamic wealth allocation with life insurance for mitigating health risk under market incompleteness
- Life-cycle welfare losses from rules-of-thumb asset allocation
- Life-cycle planning with ambiguous economics and mortality risks
- Longevity-linked assets and pre-retirement consumption/portfolio decisions
- Household consumption-investment-insurance decisions with uncertain income and market ambiguity
- Optimal investment-consumption and life insurance strategy with mispricing and model ambiguity
- Systematic and nonsystematic mortality risk in pension portfolios
- The prediction risk for the development of mortality -- can it be minimized by an appropriate portfolio composition?
- Household investment-consumption-insurance policies under the age-dependent risk preferences
- Individual post-retirement longevity risk management under systematic mortality risk
- Longevity risk management for individual investors
- Optimal investment, consumption and life insurance purchase with learning about return predictability
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