Pension funds with longevity risk: an optimal portfolio insurance approach
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Recommendations
- Multi-period optimal investment choice post-retirement with inter-temporal restrictions in a defined contribution pension plan
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- scientific article; zbMATH DE number 2054509
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- Optimal investment strategies in the presence of a minimum guarantee.
Cites work
- A theory of the term structure of interest rates
- Affine processes for dynamic mortality and actuarial valuations
- Affine stochastic mortality
- Basis risk in static versus dynamic longevity-risk hedging
- Calibrating affine stochastic mortality models using term assurance premiums
- Changes of filtrations and of probability measures
- Constant proportion portfolio insurance in defined contribution pension plan management
- Delta-gamma hedging of mortality and interest rate risk
- Equilibrium investment strategy for a DC pension plan with learning about stock return predictability
- Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
- Existence of optimal consumption strategies in markets with longevity risk
- Hedging longevity risk in defined contribution pension schemes
- Hedging Longevity Risk When Interest Rates are Uncertain
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- Indifference pricing of pure endowments via BSDEs under partial information
- Longevity-linked assets and pre-retirement consumption/portfolio decisions
- Mean reversion in stochastic mortality: why and how?
- Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns
- Optimal asset allocation for DC pension plans under inflation
- Optimal design of the guarantee for defined contribution funds
- Optimal investment for a pension fund under inflation risk
- Optimal investment strategies in a CIR framework
- Optimal investment strategies in the presence of a minimum guarantee.
- Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
- Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
- Optimization of consumption with labor income
- Pension funds with a minimum guarantee: a stochastic control approach
- Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model
- Risk management for pension funds. A continuous time approach with applications in R
- Sharing longevity risk: why governments should issue longevity bonds
- Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- The role of longevity bonds in optimal portfolios
- Theory of constant proportion portfolio insurance
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