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 problem for a defined contribution pension scheme which decides to hedge the longevity risk using a mortality-linked...

Pension schemes all over the world are under increasing pressure to efficiently hedge longevity risk imposed by aging populations. In this work, we study an optimal investment problem for a defined contribution pension scheme that decides to hedge longevity risk using a mortality-linked...