The Impact of Longevity Risk on the Term Structure of the Risk-Return Tradeoff
AbstractThe increase in worldwide life expectancy finds a major drawback in the higher-than-expected liabilities that annuity providers will face in the next few years by paying more retirees for a longer period of time. Longevity-Linked Securities have recently been subject to great interest from academics and practitioners as capable of hedging longevity risk through financial markets. Objective of this paper is the analysis of the long-term risk-return tradeoff and its term structure when an ideal longevity-linked security is added to stocks, bonds and T-Bills investment opportunities and the effect of Longevity Risk on the optimal asset allocation in efficient portfolios.
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Bibliographic InfoArticle provided by SIPI Spa in its journal Rivista di Politica Economica.
Volume (Year): (2012)
Issue (Month): 4 (October-December)
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portfolio choice; risk hedging; annuities; ageing;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- J11 - Labor and Demographic Economics - - Demographic Economics - - - Demographic Trends, Macroeconomic Effects, and Forecasts
- J14 - Labor and Demographic Economics - - Demographic Economics - - - Economics of the Elderly; Economics of the Handicapped; Non-Labor Market Discrimination
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