Similar Search Results - EconBiz

Optimal asset allocation for institutional investors

Menoncin, Francesco - 2003

Persistent link: https://www.econbiz.de/10001895556

Single- and Cross-Generation Natural Hedging of Longevity and Financial Risk

Luciano, Elisa - 2015

This article provides natural hedging strategies for life insurance and annuity businesses written on a single generation or on different generations in the presence of both longevity and interest-rate risks. We obtain closed-form solutions for delta and gamma hedges against cohort-based...

Persistent link: https://www.econbiz.de/10013036481

Single- and cross-generation natural hedging of longevity and financial risk

Luciano, Elisa; Regis, Luca; Vigna, Elena - In: The journal of risk and insurance : the journal of the … 84 (2017) 3, pp. 961-986

Persistent link: https://www.econbiz.de/10011749228

Portfolio optimisation with jumps : illustration with a pension accumulation scheme

Le Courtois, Olivier; Menoncin, Francesco - In: Journal of banking & finance 60 (2015), pp. 127-137

Persistent link: https://www.econbiz.de/10011544926

Optimal pension management under stochastic interest rates, wages, and inflation

Battocchio, Paolo (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001719335

Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases

Battocchio, Paolo; Menoncin, Francesco; Scaillet, Olivier - 2003

Persistent link: https://www.econbiz.de/10001741680

Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases

Battocchio, Paolo (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001743681

Optimal Asset Allocation for Pension Funds Under Mortality Risk During the Accumulation and Decumulation Phases

Battocchio, Paolo (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001795066

Mortality risk and real optimal asset allocation for pension funds

Menoncin, Francesco (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001865031

Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases /Paolo Battocchio, Francesco Menoncin, Olivier Scaillet

Battocchio, Paolo (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001906837

A service of the