2 citations · 2 across the 1 of their papers we have counts for
4 papers
Sharing of longevity basis risk in pension schemes with income-drawdown guarantees
Ankush Agarwal, Christian-Oliver Ewald, Yongjie Wang
This work studies a stochastic optimal control problem for a pension scheme which provides an income-drawdown policy to its members after their retirement. To manage the scheme eff…
The implied Sharpe ratio
Ankush Agarwal, Matthew Lorig
In an incomplete market, including liquidly-traded European options in an investment portfolio could potentially improve the expected terminal utility for a risk-averse investor. H…
Hedging longevity risk in defined contribution pension schemes
Ankush Agarwal, Christian-Oliver Ewald, Yongjie Wang
Pension schemes all over the world are under increasing pressure to efficiently hedge the longevity risk posed by ageing populations. In this work, we study an optimal investment p…
A Fourier-based Picard-iteration approach for a class of McKean-Vlasov SDEs with Lévy jumps
Ankush Agarwal, Stefano Pagliarani
We consider a class of Lévy-driven stochastic differential equations (SDEs) with McKean-Vlasov (MK-V) interaction in the drift coefficient. It is assumed that the coefficient is bo…