94 citations · 145 across the 20 of their papers we have counts for
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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.RM2013★ 1 cited
Liability-driven investment in longevity risk management
Helena Aro, Teemu Pennanen
This paper studies optimal investment from the point of view of an investor with longevity-linked liabilities. The relevant optimization problems rarely are analytically tractable,…