Benefit volatility-targeting strategies in lifetime pension pools

DOI10.1016/J.INSMATHECO.2024.05.006zbMATH Open1548.91088MaRDI QIDQ6607485FDOQ6607485

Authors: Jean-François Bégin, Barbara Sanders 

Publication date: 18 September 2024

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

Recommendations

• Optimal assets allocation and benefit adjustment strategy with longevity risk for target benefit pension plans
• TARGET VOLATILITY STRATEGIES FOR GROUP SELF-ANNUITY PORTFOLIOS
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• Pension funds with longevity risk: an optimal portfolio insurance approach

zbMATH Keywords

longevity riskinvestment riskinvestment-linked annuity benefitsmortality creditspooled annuity

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Actuarial mathematics (91G05) Statistical methods; risk measures (91G70)

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• TARGET VOLATILITY STRATEGIES FOR GROUP SELF-ANNUITY PORTFOLIOS

Cited In (1)

• Optimal VIX-linked structure for the target benefit pension plan

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