Sharing of longevity basis risk in pension schemes with income-drawdown guarantees
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- 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.
References listed on IDEAS
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Cited by:
- Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang, 2023.
"Hedging longevity risk in defined contribution pension schemes,"
Computational Management Science, Springer, vol. 20(1), pages 1-34, December.
- Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang, 2019. "Hedging longevity risk in defined contribution pension schemes," Papers 1904.10229, arXiv.org, revised May 2020.
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More about this item
Keywords
Pension scheme; longevity basis risk; mortality-linked instrument; stochastic control; dynamic programming principle;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-AGE-2020-08-10 (Economics of Ageing)
- NEP-ORE-2020-08-10 (Operations Research)
- NEP-RMG-2020-08-10 (Risk Management)
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