The Impact of Longevity Risk on the Term Structure of the Risk-Return Tradeoff
The 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.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Volume (Year): (2012)
Issue (Month): 4 (October-December)
|Contact details of provider:|| |
When requesting a correction, please mention this item's handle: RePEc:rpo:ripoec:y:2012:i:4:p:79-119. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sabrina Marino)
If references are entirely missing, you can add them using this form.