Lifetime asset allocation with idiosyncratic and systematic mortality risks
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Publication:4583595
DOI10.1080/03461238.2017.1343749zbMATH Open1416.91221OpenAlexW3126143679MaRDI QIDQ4583595FDOQ4583595
Authors: Yang Shen, Michael Sherris 
Publication date: 31 August 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2017.1343749
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Cited In (14)
- Optimal post-retirement consumption and portfolio choices with idiosyncratic individual mortality force and awareness of mortality risk
- Optimal investment-consumption and life insurance strategy with mispricing and model ambiguity
- Life-cycle welfare losses from rules-of-thumb asset allocation
- Life-cycle planning with ambiguous economics and mortality risks
- Optimal decision of dynamic wealth allocation with life insurance for mitigating health risk under market incompleteness
- Household consumption-investment-insurance decisions with uncertain income and market ambiguity
- Longevity risk management for individual investors
- Existence of optimal consumption strategies in markets with longevity risk
- Optimal investment, consumption and life insurance purchase with learning about return predictability
- Household investment-consumption-insurance policies under the age-dependent risk preferences
- Individual post-retirement longevity risk management under systematic mortality risk
- Longevity-linked assets and pre-retirement consumption/portfolio decisions
- The prediction risk for the development of mortality -- can it be minimized by an appropriate portfolio composition?
- Systematic and nonsystematic mortality risk in pension portfolios
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