2 papers
q-fin.RM2020
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…
q-fin.RM2019
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…