The role of longevity bonds in optimal portfolios
From MaRDI portal
Publication:939371
DOI10.1016/J.INSMATHECO.2007.05.001zbMath1141.91537OpenAlexW1987138201MaRDI QIDQ939371
Publication date: 22 August 2008
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.05.001
Related Items (27)
Demand for longevity securities under relative performance concerns: stochastic differential games with cointegration ⋮ Partial splitting of longevity and financial risks: the longevity nominal choosing swaptions ⋮ Mortality options: the point of view of an insurer ⋮ Longevity-linked assets and pre-retirement consumption/portfolio decisions ⋮ Lifetime asset allocation with idiosyncratic and systematic mortality risks ⋮ Hedging longevity risk in defined contribution pension schemes ⋮ Optimal post-retirement consumption and portfolio choices with idiosyncratic individual mortality force and awareness of mortality risk ⋮ Hedging Mortality/Longevity Risks for Multiple Years ⋮ Longevity risk and capital markets: the 2015--16 update ⋮ Hedging mortality/longevity risks of insurance portfolios for life insurer/annuity provider and financial intermediary ⋮ Optimal assets allocation and benefit adjustment strategy with longevity risk for target benefit pension plans ⋮ Optimal retirement consumption with a stochastic force of mortality ⋮ TONUITY: A NOVEL INDIVIDUAL-ORIENTED RETIREMENT PLAN ⋮ Application of Relational Models in Mortality Immunization ⋮ Quadratic stochastic intensity and prospective mortality tables ⋮ Editorial: Longevity risk and capital markets: the 2013--14 update ⋮ Existence of optimal consumption strategies in markets with longevity risk ⋮ Longevity Risk and Capital Markets: The 2012–2013 Update ⋮ DYNAMIC HEDGING OF LONGEVITY RISK: THE EFFECT OF TRADING FREQUENCY ⋮ Optimal consumption problems in discontinuous markets ⋮ On the mortality/longevity risk hedging with mortality immunization ⋮ Time-consistent mean-variance hedging of longevity risk: effect of cointegration ⋮ Time-consistent longevity hedging with long-range dependence ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ Optimal stopping time, consumption, labour, and portfolio decision for a pension scheme ⋮ Correlated age-specific mortality model: an application to annuity portfolio management ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- A variational problem arising in financial economics
- Intertemporal surplus management
- Management of a pension fund under mortality and financial risks
- Econometric analysis of a continuous time multi-factor generalized Vasicek term structure model: International evidence
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Optimal portfolio and background risk: an exact and an approximated solution.
- Risk aversion and allocation to long-term bonds.
- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- Optimal investment strategies in a CIR framework
- A Theory of the Term Structure of Interest Rates
- An equilibrium characterization of the term structure
- Optimal Annuitization Policies
- Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
- On optimal portfolio choice under stochastic interest rates
- A solution approach to valuation with unhedgeable risks
This page was built for publication: The role of longevity bonds in optimal portfolios
