Benefit volatility-targeting strategies in lifetime pension pools
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Publication:6607485
Recommendations
- Optimal assets allocation and benefit adjustment strategy with longevity risk for target benefit pension plans
- TARGET VOLATILITY STRATEGIES FOR GROUP SELF-ANNUITY PORTFOLIOS
- Optimal VIX-linked structure for the target benefit pension plan
- Pension funds with longevity risk: an optimal portfolio insurance approach
Cites work
- scientific article; zbMATH DE number 1231230 (Why is no real title available?)
- A Tale of Two Time Scales
- Actuarial fairness and solidarity in pooled annuity funds
- An equilibrium characterization of the term structure
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bringing cost transparency to the life annuity market
- Demand and adverse selection in a pooled annuity fund
- Empirical properties of asset returns: stylized facts and statistical issues
- Equitable retirement income tontines: mixing cohorts without discriminating
- Exchanging uncertain mortality for a cost
- Fees in tontines
- Generalized autoregressive conditional heteroscedasticity
- Individual post-retirement longevity risk management under systematic mortality risk
- Lassoing the HAR model: a model selection perspective on realized volatility dynamics
- Levelling the playing field: a VIX-linked structure for funded pension schemes
- Modeling and forecasting U.S. mortality. (With discussion)
- Modeling the risk in mortality projections
- Modern tontine with bequest: innovation in pooled annuity products
- On stochastic mortality modeling
- On the estimation of jump-diffusion models using intraday data: a filtering-based approach
- Optimal consumption and portfolio choice for pooled annuity funds
- Optimal retirement income tontines
- Options on tontines: an innovative way of combining tontines and annuities
- Portfolio management with targeted constant market volatility
- Post-'87 crash fears in the S\&P 500 futures option market
- Quantifying the trade-off between income stability and the number of members in a pooled annuity fund
- TARGET VOLATILITY STRATEGIES FOR GROUP SELF-ANNUITY PORTFOLIOS
- Testing for common arrivals of jumps for discretely observed multidimensional processes
- The effect of the assumed interest rate and smoothing on variable annuities
- The modern tontine. An innovative instrument for longevity risk management in an aging society
- The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
- The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Volatility jumps
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