We propose a new dimension reduction procedure for portfolio optimization. The vanilla principal component analysis (PCA) restricts the portfolio on the linear subspace spanned by the PCs, which often requires many PCs to performance well. In our framework, the linear subspace is based on a most...

This paper proposes an innovative retirement product with a focus on longevity risk sharing, a contract we refer to as tail index-linked annuity (TILA). Specifically, the proposed TILA pays out variable annual payments, which will be equal to a regular nominal amount when a reference survival...