In this paper we analyze the impact hedging longevity risk can have on a pension fund's funding ratio volatility and ALM strategy. Our model captures all relevant aspects of the ALM problem and is calibrated to industry statistics; however, we've sacrificed model complexity to make the solution...

We investigate whether risk-taking for resurrection type of risk preference (non-constant risk aversion) can increase the probability of achieving inflation-indexed pension benefits at retirement, especially when the starting position is underfunded. By maximizing the expected utility of the...

We investigate whether risk-taking for resurrection type of risk preference (non-constant risk aversion) can increase the probability of achieving inflation-indexed pension benefits at retirement, especially when the starting position is underfunded. By maximizing the expected utility of the...