This paper proposes a framework to evaluate the impact of longevity-linked securities on the risk-return trade-off for … traditional portfolios. Generalized unexpected raise in life expectancy is a source of aggregate risk in the insurance sector …-linked investment in addition to equity and fixed income securities and describe the resulting term structure of risk-return trade …

Generalized unexpected raise in life expectancy is a source of aggregate risk. Longevity‐linked securities are a … longevity risk confirms that longevity linked securities offer cheap funding opportunities to asset managers willing to leverage …

In this paper, we study the skewness risk and its return predictability in the energy market. Skewness risk is often …-sectional average realized skewness) estimated from underlying stock returns and risk-neutral skewness evaluated from the options market …

We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio … return as in standard systematic risk measures. We document a positive and significant relation between hybrid tail … covariance risk (H-TCR) and expected stock returns, with an annualized premium of 9%, in contrast to the insignificant or …