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- W3122522546 abstract "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 security, typically a longevity bond. The pension scheme invests in the risky assets available in the market, including the longevity bond, by using the contributions from a representative scheme member to ensure a minimum guarantee such that the member is able to purchase a lifetime annuity upon retirement. We transform this constrained optimal investment problem into an unconstrained problem by replicating a self-financing portfolio of future contributions from the member and the minimum guarantee provided by the scheme. We solve the resulting optimisation problem using the dynamic programming principle and through a series of numerical studies reveal that the longevity risk has an important impact on the performance of investment strategies. Our results provide mathematical evidence supporting the use of mortality-linked securities for efficient hedging of the longevity risk." @default.
- W3122522546 created "2021-02-01" @default.
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- W3122522546 date "2019-04-23" @default.
- W3122522546 modified "2023-10-16" @default.
- W3122522546 title "Hedging longevity risk in defined contribution pension schemes" @default.
- W3122522546 doi "https://doi.org/10.48550/arxiv.1904.10229" @default.
- W3122522546 hasPublicationYear "2019" @default.
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