94 citations · 103 across the 5 of their papers we have counts for
Showing 2020Show all
2 papers · 1 filter
q-fin.RM2020★ 94 cited
Stochastic modeling of assets and liabilities with mortality risk
Sergio Alvares Maffra, John Armstrong, Teemu Pennanen
This paper describes a general approach for stochastic modeling of assets returns and liability cash-flows of a typical pensions insurer. On the asset side, we model the investment…
q-fin.PM2020★ 1 cited
Asymptotically Optimal Management of Heterogeneous Collectivised Investment Funds
John Armstrong, Cristin Buescu
A collectivised fund is a proposed form of pension investment, in which all investors agree that any funds associated with deceased members should be split among survivors. For thi…