Liability-driven investment in longevity risk management
AbstractThis 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1307.8261.
Date of creation: Jul 2013
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Web page: http://arxiv.org/
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