Liability-Driven Investment in Longevity Risk Management

Helena Aro () and Teemu Pennanen ()
Additional contact information
Helena Aro: Finnish Financial Supervisory Authority
Teemu Pennanen: King’s College London

Chapter Chapter 5 in Optimal Financial Decision Making under Uncertainty, 2017, pp 121-136 from Springer

Abstract: Abstract This paper studies optimal investment from the point of view of an investor with longevity-linked liabilities. The relevant optimization problems rarely are analytically tractable, but we are able to show numerically that liability driven investment can significantly outperform common strategies that do not take the liabilities into account. In problems without liabilities the advantage disappears, which suggests that the superiority of the proposed strategies is indeed based on connections between liabilities and asset returns.

Keywords: Longevity risk; Mortality risk; Stochastic mortality; Stochastic optimization; Hedging (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (1)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:isochp:978-3-319-41613-7_5

Ordering information: This item can be ordered from
http://www.springer.com/9783319416137

DOI: 10.1007/978-3-319-41613-7_5

Access Statistics for this chapter

More chapters in International Series in Operations Research & Management Science from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().