TARGET VOLATILITY STRATEGIES FOR GROUP SELF-ANNUITY PORTFOLIOS

DOI10.1017/asb.2022.7zbMath1492.91309OpenAlexW4223574623MaRDI QIDQ5866180

Jonathan Ziveyi, Annamaria Olivieri, Samuel Thirurajah

Publication date: 13 June 2022

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2022.7

zbMATH Keywords

Heston stochastic volatility modelexponentially weighted moving averagegroup self-annuitizationinvestment-linked annuity benefitslongevity-linked annuity benefitsmortality creditstarget volatility strategy

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites Work

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