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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,…
q-fin.RM2013★ 1 cited
Systematic and non-systematic mortality risk in pension portfolios
Helena Aro
We study the effects of non-systematic and systematic mortality risks on the required initial capital in a pension plan, in the presence of financial risks. We discover that for a…