Hedging longevity risk in defined contribution pension schemes
Author
Abstract
Suggested Citation
DOI: 10.1007/s10287-023-00440-8
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang, 2019. "Hedging longevity risk in defined contribution pension schemes," Papers 1904.10229, arXiv.org, revised May 2020.
References listed on IDEAS
- Lin, Hongcan & Saunders, David & Weng, Chengguo, 2017. "Optimal investment strategies for participating contracts," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 137-155.
- Tat Wing Wong & Mei Choi Chiu & Hoi Ying Wong, 2017. "Managing Mortality Risk With Longevity Bonds When Mortality Rates Are Cointegrated," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 987-1023, September.
- Deelstra, Griselda & Grasselli, Martino & Koehl, Pierre-Francois, 2003. "Optimal investment strategies in the presence of a minimum guarantee," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 189-207, August.
- Rogemar Mamon & Heng Xiong & Yixing Zhao, 2021. "The Valuation of a Guaranteed Minimum Maturity Benefit under a Regime-Switching Framework," North American Actuarial Journal, Taylor & Francis Journals, vol. 25(3), pages 334-359, July.
- Tomasz R. Bielecki & Stanley Pliska & Jiongmin Yong, 2005. "Optimal Investment Decisions For A Portfolio With A Rolling Horizon Bond And A Discount Bond," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(07), pages 871-913.
- Chen, An & Hieber, Peter & Nguyen, Thai, 2019. "Constrained non-concave utility maximization: An application to life insurance contracts with guarantees," European Journal of Operational Research, Elsevier, vol. 273(3), pages 1119-1135.
- Horneff, Vanya & Maurer, Raimond & Mitchell, Olivia S. & Rogalla, Ralph, 2015.
"Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection,"
Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 91-107.
- Vanya Horneff & Raimond Maurer & Olivia S. Mitchell & Ralph Rogalla, 2013. "Optimal Life Cycle Portfolio Choice with Variable Annuities Offering Liquidity and Investment Downside Protection," Working Papers wp286, University of Michigan, Michigan Retirement Research Center.
- Vanya Horneff & Raimond Maurer & Olivia S. Mitchell & Ralph Rogalla, 2013. "Optimal Life Cycle Portfolio Choice with Variable Annuities Offering Liquidity and Investment Downside Protection," NBER Working Papers 19206, National Bureau of Economic Research, Inc.
- Paolo Battocchio & Francesco Menoncin & Olivier Scaillet, 2007.
"Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases,"
Annals of Operations Research, Springer, vol. 152(1), pages 141-165, July.
- Paolo Battocchio & Francesco Menoncin & Olivier Scaillet, 2003. "Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases," THEMA Working Papers 2003-28, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Paolo Battocchio & Francesco Menoncin & Olivier Scaillet, 2003. "Optimal asset allocation for pension funds under mortality risk during the accumulation and ecumulation phases," FAME Research Paper Series rp66, International Center for Financial Asset Management and Engineering.
- Paolo, BATTOCCHIO & Francesco, MENONCIN & Olivier, SCAILLET, 2003. "Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases," LIDAM Discussion Papers IRES 2003004, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Gao, Jianwei, 2008. "Stochastic optimal control of DC pension funds," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1159-1164, June.
- Chen, Zheng & Li, Zhongfei & Zeng, Yan & Sun, Jingyun, 2017. "Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 137-150.
- Hanewald, Katja & Piggott, John & Sherris, Michael, 2013.
"Individual post-retirement longevity risk management under systematic mortality risk,"
Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 87-97.
- Katja Hanewald & John Piggott & Michael Sherris, 2011. "Individual Post-Retirement Longevity Risk Management Under Systematic Mortality Risk," Working Papers 201113, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales.
- Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang, 2020.
"Sharing of longevity basis risk in pension schemes with income-drawdown guarantees,"
Working Papers
2020_18, Business School - Economics, University of Glasgow.
- Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang, 2020. "Sharing of longevity basis risk in pension schemes with income-drawdown guarantees," Papers 2002.05232, arXiv.org.
- Liang, Zongxia & Ma, Ming, 2015. "Optimal dynamic asset allocation of pension fund in mortality and salary risks framework," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 151-161.
- Shen, Yang & Sherris, Michael & Ziveyi, Jonathan, 2016. "Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 127-137.
- Zeddouk, Fadoua & Devolder, Pierre, 2020. "Mean reversion in stochastic mortality: why and how?," LIDAM Reprints ISBA 2020018, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Hyndman, Cody B. & Wenger, Menachem, 2014. "Valuation perspectives and decompositions for variable annuities with GMWB riders," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 283-290.
- Griselda Deelstra & Martino Grasselli & Pierre-François Koehl, 2003. "Optimal investment strategies in the presence of a minimum guarantee," ULB Institutional Repository 2013/7598, ULB -- Universite Libre de Bruxelles.
- Steinorth, Petra & Mitchell, Olivia S., 2015. "Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 246-258.
- Enrico Biffis & David Blake, 2014.
"Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers,"
North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 14-21.
- Blake, David & Biffs, Enrico, 2012. "Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers," MPRA Paper 44680, University Library of Munich, Germany.
- Xudong Zeng & Michael Taksar, 2013. "A stochastic volatility model and optimal portfolio selection," Quantitative Finance, Taylor & Francis Journals, vol. 13(10), pages 1547-1558, October.
- van Haastrecht, Alexander & Plat, Richard & Pelsser, Antoon, 2010. "Valuation of guaranteed annuity options using a stochastic volatility model for equity prices," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 266-277, December.
- Bauer, Daniel & Kling, Alexander & Russ, Jochen, 2008. "A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities 1," ASTIN Bulletin, Cambridge University Press, vol. 38(2), pages 621-651, November.
- Huang, Yiming & Mamon, Rogemar & Xiong, Heng, 2022. "Valuing guaranteed minimum accumulation benefits by a change of numéraire approach," Insurance: Mathematics and Economics, Elsevier, vol. 103(C), pages 1-26.
- Elisa Luciano & Elena Vigna, 2005.
"Non mean reverting affine processes for stochastic mortality,"
ICER Working Papers - Applied Mathematics Series
4-2005, ICER - International Centre for Economic Research.
- Elisa Luciano & Elena Vigna, 2006. "Non mean reverting affne processes for stochastic mortality," Carlo Alberto Notebooks 30, Collegio Carlo Alberto.
- Russo, Vincenzo & Giacometti, Rosella & Ortobelli, Sergio & Rachev, Svetlozar & Fabozzi, Frank J., 2011. "Calibrating affine stochastic mortality models using term assurance premiums," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 53-60, July.
- Menoncin, Francesco, 2008.
"The role of longevity bonds in optimal portfolios,"
Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 343-358, February.
- Francesco Menoncin, 2006. "The role of longevity bonds in optimal portfolios," Working Papers 0601, University of Brescia, Department of Economics.
- Boyle, Phelim & Hardy, Mary, 2003. "Guaranteed Annuity Options," ASTIN Bulletin, Cambridge University Press, vol. 33(2), pages 125-152, November.
- Gregory R. Duffee, 2002.
"Term Premia and Interest Rate Forecasts in Affine Models,"
Journal of Finance, American Finance Association, vol. 57(1), pages 405-443, February.
- Gregory R. Duffee, 2000. "Term premia and interest rate forecasts in affine models," Working Paper Series 2000-19, Federal Reserve Bank of San Francisco.
- Pelsser, Antoon, 2003.
"Pricing and hedging guaranteed annuity options via static option replication,"
Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 283-296, October.
- Antoon Pelsser, 2002. "Pricing and Hedging Guaranteed Annuity Options via Static Option Replication," Tinbergen Institute Discussion Papers 02-037/2, Tinbergen Institute.
- Han, Nan-wei & Hung, Mao-wei, 2012. "Optimal asset allocation for DC pension plans under inflation," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 172-181.
- Cocco, João F. & Gomes, Francisco J., 2012. "Longevity risk, retirement savings, and financial innovation," Journal of Financial Economics, Elsevier, vol. 103(3), pages 507-529.
- Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-257, August.
- Cairns, Andrew, 2000. "Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time," ASTIN Bulletin, Cambridge University Press, vol. 30(1), pages 19-55, May.
- Raimond Maurer & Olivia S. Mitchell & Ralph Rogalla & Vasily Kartashov, 2013.
"Lifecycle Portfolio Choice With Systematic Longevity Risk and Variable Investment—Linked Deferred Annuities,"
Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 649-676, September.
- Vasily Kartashov & Raimond Maurer & Olivia S. Mitchell & Ralph Rogalla, 2011. "Lifecycle Portfolio Choice with Systematic Longevity Risk and Variable Investment-Linked Deferred Annuities," NBER Working Papers 17505, National Bureau of Economic Research, Inc.
- Dahl, Mikkel, 2004. "Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 35(1), pages 113-136, August.
- Tang, Mei-Ling & Chen, Son-Nan & Lai, Gene C. & Wu, Ting-Pin, 2018. "Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 87-104.
- Menoncin, Francesco & Regis, Luca, 2017. "Longevity-linked assets and pre-retirement consumption/portfolio decisions," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 75-86.
- Luciano, Elisa & Regis, Luca & Vigna, Elena, 2012. "Delta–Gamma hedging of mortality and interest rate risk," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 402-412.
- Renshaw, A.E. & Haberman, S., 2006. "A cohort-based extension to the Lee-Carter model for mortality reduction factors," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 556-570, June.
- Duffie, Darrell, 2005. "Credit risk modeling with affine processes," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2751-2802, November.
- Pliska, Stanley R. & Ye, Jinchun, 2007. "Optimal life insurance purchase and consumption/investment under uncertain lifetime," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1307-1319, May.
- Sang Wu & Yinghui Dong & Wenxin Lv & Guojing Wang, 2020. "Optimal asset allocation for participating contracts with mortality risk under minimum guarantee," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 49(14), pages 3481-3497, July.
- Forsyth, Peter & Vetzal, Kenneth, 2014. "An optimal stochastic control framework for determining the cost of hedging of variable annuities," Journal of Economic Dynamics and Control, Elsevier, vol. 44(C), pages 29-53.
- Carter, Lawrence R. & Lee, Ronald D., 1992. "Modeling and forecasting US sex differentials in mortality," International Journal of Forecasting, Elsevier, vol. 8(3), pages 393-411, November.
- He, Lin & Liang, Zongxia, 2015. "Optimal assets allocation and benefit outgo policies of DC pension plan with compulsory conversion claims," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 227-234.
- de Kort, J. & Vellekoop, M.H., 2017. "Existence of optimal consumption strategies in markets with longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 107-121.
- Milevsky, Moshe A. & David Promislow, S., 2001. "Mortality derivatives and the option to annuitise," Insurance: Mathematics and Economics, Elsevier, vol. 29(3), pages 299-318, December.
- Min Dai & Yue Kuen Kwok & Jianping Zong, 2008. "Guaranteed Minimum Withdrawal Benefit In Variable Annuities," Mathematical Finance, Wiley Blackwell, vol. 18(4), pages 595-611, October.
- Boulier, Jean-Francois & Huang, ShaoJuan & Taillard, Gregory, 2001. "Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund," Insurance: Mathematics and Economics, Elsevier, vol. 28(2), pages 173-189, April.
- Battocchio, Paolo & Menoncin, Francesco, 2004. "Optimal pension management in a stochastic framework," Insurance: Mathematics and Economics, Elsevier, vol. 34(1), pages 79-95, February.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
- Blake, David & El Karoui, Nicole & Loisel, Stéphane & MacMinn, Richard, 2018.
"Longevity risk and capital markets: The 2015–16 update,"
Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 157-173.
- David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
- Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang, 2020.
"Sharing of longevity basis risk in pension schemes with income-drawdown guarantees,"
Working Papers
2020_18, Business School - Economics, University of Glasgow.
- Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang, 2020. "Sharing of longevity basis risk in pension schemes with income-drawdown guarantees," Papers 2002.05232, arXiv.org.
- Zhiping Chen & Liyuan Wang & Ping Chen & Haixiang Yao, 2019. "Continuous-Time Mean–Variance Optimization For Defined Contribution Pension Funds With Regime-Switching," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(06), pages 1-33, September.
- Menoncin, Francesco & Regis, Luca, 2017. "Longevity-linked assets and pre-retirement consumption/portfolio decisions," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 75-86.
- Dong, Yinghui & Zheng, Harry, 2019. "Optimal investment of DC pension plan under short-selling constraints and portfolio insurance," Insurance: Mathematics and Economics, Elsevier, vol. 85(C), pages 47-59.
- Mei-Ling Tang & Ting-Pin Wu & Ming-Chin Hung, 2022. "Optimal Pension Fund Management with Foreign Investment in a Stochastic Environment," Mathematics, MDPI, vol. 10(14), pages 1-21, July.
- Pavel V. Shevchenko & Xiaolin Luo, 2016. "A Unified Pricing of Variable Annuity Guarantees under the Optimal Stochastic Control Framework," Risks, MDPI, vol. 4(3), pages 1-31, July.
- Marina Di Giacinto & Salvatore Federico & Fausto Gozzi, 2011. "Pension funds with a minimum guarantee: a stochastic control approach," Finance and Stochastics, Springer, vol. 15(2), pages 297-342, June.
- Moenig, Thorsten, 2021. "Variable annuities: Market incompleteness and policyholder behavior," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 63-78.
- Guan, Guohui & Liang, Zongxia, 2015. "Mean–variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 99-109.
- Han, Nan-Wei & Hung, Mao-Wei, 2015. "The investment management for a downside-protected equity-linked annuity under interest rate risk," Finance Research Letters, Elsevier, vol. 13(C), pages 113-124.
- Pavel V. Shevchenko & Xiaolin Luo, 2016. "A unified pricing of variable annuity guarantees under the optimal stochastic control framework," Papers 1605.00339, arXiv.org.
- Henrique Ferreira Morici & Elena Vigna, 2023. "Optimal additional voluntary contribution in DC pension schemes to manage inadequacy risk," Carlo Alberto Notebooks 699 JEL Classification: C, Collegio Carlo Alberto.
- Wang, Pei & Li, Zhongfei, 2018. "Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 80(C), pages 67-83.
- Francesco Menoncin & Luca Regis, 2015. "Longevity assets and pre-retirement consumption/portfolio decisions," Working Papers 2/2015, IMT School for Advanced Studies Lucca, revised May 2015.
- Elena Vigna, 2009. "Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes," Carlo Alberto Notebooks 108, Collegio Carlo Alberto, revised 2009.
- Pengyu Wei & Charles Yang, 2023. "Optimal investment for defined-contribution pension plans under money illusion," Review of Quantitative Finance and Accounting, Springer, vol. 61(2), pages 729-753, August.
- Han, Nan-wei & Hung, Mao-wei, 2012. "Optimal asset allocation for DC pension plans under inflation," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 172-181.
- Huang, Hong-Chih & Lee, Yung-Tsung, 2020. "A study of the differences among representative investment strategies," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 131-149.
More about this item
Keywords
Defined contribution pension scheme; Longevity bond; Stochastic control; Dynamic programming principle;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00440-8. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.