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q-fin.MF2024
Optimal mutual insurance against systematic longevity risk
John Armstrong, James Dalby
We mathematically demonstrate how and what it means for two collective pension funds to mutually insure one another against systematic longevity risk. The key equation that facilit…
q-fin.MF2024
Optimal post-retirement investment under longevity risk in collective funds
John Armstrong, Cristin Buescu, James Dalby
We study the optimal investment problem for a homogeneous collective of individuals investing in a Black-Scholes model subject to longevity risk with Epstein--Zin preferences.…