Hanewald, Katja; Piggott, John; Sherris, Michael - 2011
This paper analyzes an individual’s post retirement longevity risk management strategy allowing for systematic … longevity risk, recent product innovations, and product loadings. A complete-markets discrete state model and multi … systematic and idiosyncratic longevity risk. Portfolios include: fixed life annuities, deferred annuities, inflation …