Target volatility strategies for group self-annuity portfolios
Year of publication: |
2022
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Authors: | Olivieri, Annamaria ; Thirurajah, Samuel ; Ziveyi, Jonathan |
Published in: |
ASTIN bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge Univ. Press, ISSN 1783-1350, ZDB-ID 2148228-7. - Vol. 52.2022, 2, p. 591-617
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Subject: | exponentially weighted moving average | Group self-annuitization | Heston stochastic volatility model | investment-linked annuity benefits | longevity-linked annuity benefits | mortality credits | target volatility strategy | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Sterblichkeit | Mortality | Portfolio-Management | Portfolio selection | Theorie | Theory | Altersvorsorge | Retirement provision | Private Altersvorsorge | Private retirement provision |
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