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The role of longevity bonds in optimal portfolios · Study

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ArticleThe role of longevity bonds in optimal portfolios

Francesco Menoncin A2007

Article2007

The role of longevity bonds in optimal portfolios

Francesco Menoncin A

79 citations·0/0 files stored·Insurance Mathematics and Economics

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Stochastic processes and financial applications Insurance, Mortality, Demography, Risk Management Risk and Portfolio Optimization

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References

1985A Theory of the Term Structure of Interest Rates 1977An equilibrium characterization of the term structure 1971Optimum consumption and portfolio rules in a continuous-time model 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 1999Stochastic controls : Hamiltonian systems and HJB equations 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process 1996Dynamic Nonmyopic Portfolio Behavior 1975Optimal consumption, portfolio and life insurance rules for an uncertain lived individual in a continuous time model

Cited by

2018TONUITY: A NOVEL INDIVIDUAL-ORIENTED RETIREMENT PLAN 2012Optimal retirement consumption with a stochastic force of mortality 2010Do Social Enterprises Finance Their Investments Differently from For-profit Firms? The Case of Social Residential Services in Italy 2010Longevity Risk, Subjective Survival Expectations, and Individual Saving Behavior 2014Time-consistent mean–variance hedging of longevity risk: Effect of cointegration

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Year2007

Typearticle

Published2007-06-01

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations79

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.insmatheco.2007.05.001

openalex_workW1987138201

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2008Quadratic stochastic intensity and prospective mortality tables

2013On the mortality/longevity risk hedging with mortality immunization

2006Maastricht: New and Old Rules