Benefit volatility-targeting strategies in lifetime pension pools
The authors consider lifetime pension pools that allow retirees to convert a lump sum into lifelong income, with payouts linked to investment performance and the collective mortality experience of the pool. The study aims to investigate volatility-targeting strategies for both investment and mortality risks, offering a solution that keeps the risk associated with benefit variation as constant as possible through time.\N\NSpecifically, the authors derive a new asset allocation strategy that targets both investment and mortality risks, and provide insights about it. Practical investigations of the strategy demonstrate the effectiveness and robustness of the new dynamic volatility-targeting approach, ultimately leading to enhanced lifetime pension benefits.
- 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
- 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
- scientific article; zbMATH DE number 1231230 (Why is no real title available?)
- 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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