This paper analyzes and discusses the effects of model misspecification associated with both interest rate and mortality risk on the hedging decisions of insurance companies. We consider hedging strategies in different instruments (zero bonds) which are risk- (variance-) minimizing with respect...

Abstract The present paper analyzes an optimal consumption and investment problem of a retiree with a constant relative risk aversion (CRRA) who faces parameter uncertainty about the financial market. We solve the optimization problem under partial information by making the market...