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A managed volatility investment strategy for pooled annuity products
Li, Shuanglan; Labit Hardy, Héloïse; Sherris, Michael; … - In: Risks : open access journal 10 (2022) 6, pp. 1-30
Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as … managed-volatility for pooled annuity funds. We show how the managed volatility strategy improves investment performance …, while reducing pooled annuity income volatility and downside risk, as well as an investment strategy that reduces exposure …
Persistent link: https://www.econbiz.de/10013363078
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Risk management of variable annuities
Ruez, Frederik - 2017
Persistent link: https://www.econbiz.de/10012659889
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Swimming with wealthy sharks : longevity, volatility andthe value of risk pooling
Milevsky, Moshe Arye - In: Journal of pension economics and finance : JPEF 19 (2020) 2, pp. 217-246
Persistent link: https://www.econbiz.de/10012193716
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Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
Wang, Pei; Li, Zhongfei - In: Insurance / Mathematics & economics 80 (2018), pp. 67-83
Persistent link: https://www.econbiz.de/10011872914
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Calculating variable annuity liability "Greeks" using Monte Carlo simulation
Cathcart, Mark J.; Lok, Hsiao Yen; McNeil, Alexander J.; … - In: Astin bulletin : the journal of the International … 45 (2015) 2, pp. 239-266
Persistent link: https://www.econbiz.de/10011312287
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Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitt...
Gudkov, Nikolay; Ignatieva, Ekaterina; Ziveyi, Jonathan - In: Quantitative finance 19 (2019) 3, pp. 501-518
Persistent link: https://www.econbiz.de/10012194671
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Improving retirement coverage durability with target volatility strategy for changing interest rate environment
Bai, Zefeng; Steblovskaya, Victoria; Wallbaum, Kai - In: Asia-Pacific journal of financial studies 52 (2023) 6, pp. 949-978
Persistent link: https://www.econbiz.de/10014450771
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Valuing variable annuity guarantees on multiple assets
Fonseca, José da; Ziveyi, Jonathan - In: Scandinavian actuarial journal (2017) 3, pp. 209-230
Persistent link: https://www.econbiz.de/10011772102
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Dynamic behaviour of optimal portfolio with stochastic volatility
Zhang, Yongmin; Zhao, Yingxue - In: Economic research 34 (2021) 1,1, pp. 352-367
Persistent link: https://www.econbiz.de/10013341632
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Optimal investment strategy for defined contribution pension scheme under the Heston volatility model
Okonkwo, Chidi U.; Osu, Bright O.; Ihedioha, Silas A.; … - In: Journal of mathematical finance 8 (2018) 4, pp. 613-622
Persistent link: https://www.econbiz.de/10012016220