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Optimal defined-contribution pension management with financial and mortality risks

Li, Wenyuan; Wei, Pengyu - In: ASTIN bulletin : the journal of the International … 54 (2024) 3, pp. 546-568

Persistent link: https://www.econbiz.de/10015154561

Valuation of general GMWB annuities in a low interest rate environment

Fontana, Claudio; Rotondi, Francesco - In: Insurance / Mathematics & economics 112 (2023), pp. 142-167

Persistent link: https://www.econbiz.de/10014446751

Solvency measurement of life annuity products

Diffouo, Pauline M. Ngugnie; Devolder, Pierre - In: International journal of theoretical and applied … 25 (2022) 2, pp. 1-26

Persistent link: https://www.econbiz.de/10013189960

Longevity risk management and the development of a value-based longevity index

Chang, Yang; Sherris, Michael - In: Risks : open access journal 6 (2018) 1, pp. 1-20

The design and development of post-retirement income products require the assessment of longevity risk, as well as a … basis for hedging these risks. Most indices for longevity risk are age-period based. We develop and assess a cohort …-based value index for life insurers and pension funds to manage longevity risk. There are two innovations in the development of …

Persistent link: https://www.econbiz.de/10011811547

Risk analysis of annuity conversion options in a stochastic mortality environment

Kling, Alexander; Ruß, Jochen; Schilling, Katja - In: Astin bulletin : the journal of the International … 44 (2014) 2, pp. 197-236

Persistent link: https://www.econbiz.de/10010393961

Target benefit pension with longevity risk and stochastic interest rate valuation

Tao, Cheng; Rong, Ximin; Zhao, Hui - In: Insurance : mathematics and economics 120 (2025), pp. 285-301

Persistent link: https://www.econbiz.de/10015431899

Systematic mortality risk : an analysis of guaranteed lifetime withdrawal benefits in variable annuities

Fung, Man Chung; Ignatieva, Ekaterina; Sherris, Michael - In: Insurance / Mathematics & economics 58 (2014), pp. 103-115

Persistent link: https://www.econbiz.de/10010437618

Variable annuities and aggregate mortality risk

Weale, Martin; Van de Ven, Justin - In: National Institute economic review 237 (2016), pp. 55-61

Persistent link: https://www.econbiz.de/10011694221

Systematic longevity risk : to bear or to insure?

Boon, Ling-Ni; Brière, Marie; Werker, Bas J. M. - In: Journal of pension economics and finance : JPEF 19 (2020) 3, pp. 409-441

Persistent link: https://www.econbiz.de/10012240694

Valuing variable annuity guarantees on multiple assets

Fonseca, José da; Ziveyi, Jonathan - In: Scandinavian actuarial journal (2017) 3, pp. 209-230

Persistent link: https://www.econbiz.de/10011772102