Optimal post-retirement investment under longevity risk in collective funds
We study the optimal investment problem for a homogeneous collective of $n$ individuals investing in a Black-Scholes model subject to longevity risk with Epstein--Zin preferences. %and with preferences given by power utility. We compute analytic formulae for the optimal investment strategy, consumpt...
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| creator | Armstrong, John Buescu, Cristin Dalby, James |
| description | We study the optimal investment problem for a homogeneous collective of $n$
individuals investing in a Black-Scholes model subject to longevity risk with
Epstein--Zin preferences. %and with preferences given by power utility. We
compute analytic formulae for the optimal investment strategy, consumption is
in discrete-time and there is no systematic longevity risk. We develop a
stylised model of systematic longevity risk in continuous time which allows us
to also obtain an analytic solution to the optimal investment problem in this
case. We numerically solve the same problem using a continuous-time version of
the Cairns--Blake--Dowd model. We apply our results to estimate the potential
benefits of pooling longevity risk over purchasing an insurance product such as
an annuity, and to estimate the benefits of optimal longevity risk pooling in a
small heterogeneous fund. |
| doi_str_mv | 10.48550/arxiv.2409.15325 |
| format | Article |
| fullrecord | <record><control><sourceid>arxiv_GOX</sourceid><recordid>TN_cdi_arxiv_primary_2409_15325</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>2409_15325</sourcerecordid><originalsourceid>FETCH-arxiv_primary_2409_153253</originalsourceid><addsrcrecordid>eNpjYJA0NNAzsTA1NdBPLKrILNMzMjGw1DM0NTYy5WTw9i8oycxNzFEoyC8u0S1KLcksSs1NzStRyMwrSy0uATNL81JSixRy8vPSU8sySyoVijKLs4HyCsn5OTmpySWZZakKaUA1xTwMrGmJOcWpvFCam0HezTXE2UMXbG18QRHQoqLKeJD18WDrjQmrAABSSDwK</addsrcrecordid><sourcetype>Open Access Repository</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype></control><display><type>article</type><title>Optimal post-retirement investment under longevity risk in collective funds</title><source>arXiv.org</source><creator>Armstrong, John ; Buescu, Cristin ; Dalby, James</creator><creatorcontrib>Armstrong, John ; Buescu, Cristin ; Dalby, James</creatorcontrib><description>We study the optimal investment problem for a homogeneous collective of $n$
individuals investing in a Black-Scholes model subject to longevity risk with
Epstein--Zin preferences. %and with preferences given by power utility. We
compute analytic formulae for the optimal investment strategy, consumption is
in discrete-time and there is no systematic longevity risk. We develop a
stylised model of systematic longevity risk in continuous time which allows us
to also obtain an analytic solution to the optimal investment problem in this
case. We numerically solve the same problem using a continuous-time version of
the Cairns--Blake--Dowd model. We apply our results to estimate the potential
benefits of pooling longevity risk over purchasing an insurance product such as
an annuity, and to estimate the benefits of optimal longevity risk pooling in a
small heterogeneous fund.</description><identifier>DOI: 10.48550/arxiv.2409.15325</identifier><language>eng</language><subject>Quantitative Finance - Mathematical Finance</subject><creationdate>2024-09</creationdate><rights>http://arxiv.org/licenses/nonexclusive-distrib/1.0</rights><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>228,230,776,881</link.rule.ids><linktorsrc>$$Uhttps://arxiv.org/abs/2409.15325$$EView_record_in_Cornell_University$$FView_record_in_$$GCornell_University$$Hfree_for_read</linktorsrc><backlink>$$Uhttps://doi.org/10.48550/arXiv.2409.15325$$DView paper in arXiv$$Hfree_for_read</backlink></links><search><creatorcontrib>Armstrong, John</creatorcontrib><creatorcontrib>Buescu, Cristin</creatorcontrib><creatorcontrib>Dalby, James</creatorcontrib><title>Optimal post-retirement investment under longevity risk in collective funds</title><description>We study the optimal investment problem for a homogeneous collective of $n$
individuals investing in a Black-Scholes model subject to longevity risk with
Epstein--Zin preferences. %and with preferences given by power utility. We
compute analytic formulae for the optimal investment strategy, consumption is
in discrete-time and there is no systematic longevity risk. We develop a
stylised model of systematic longevity risk in continuous time which allows us
to also obtain an analytic solution to the optimal investment problem in this
case. We numerically solve the same problem using a continuous-time version of
the Cairns--Blake--Dowd model. We apply our results to estimate the potential
benefits of pooling longevity risk over purchasing an insurance product such as
an annuity, and to estimate the benefits of optimal longevity risk pooling in a
small heterogeneous fund.</description><subject>Quantitative Finance - Mathematical Finance</subject><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2024</creationdate><recordtype>article</recordtype><sourceid>GOX</sourceid><recordid>eNpjYJA0NNAzsTA1NdBPLKrILNMzMjGw1DM0NTYy5WTw9i8oycxNzFEoyC8u0S1KLcksSs1NzStRyMwrSy0uATNL81JSixRy8vPSU8sySyoVijKLs4HyCsn5OTmpySWZZakKaUA1xTwMrGmJOcWpvFCam0HezTXE2UMXbG18QRHQoqLKeJD18WDrjQmrAABSSDwK</recordid><startdate>20240906</startdate><enddate>20240906</enddate><creator>Armstrong, John</creator><creator>Buescu, Cristin</creator><creator>Dalby, James</creator><scope>GOX</scope></search><sort><creationdate>20240906</creationdate><title>Optimal post-retirement investment under longevity risk in collective funds</title><author>Armstrong, John ; Buescu, Cristin ; Dalby, James</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-arxiv_primary_2409_153253</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2024</creationdate><topic>Quantitative Finance - Mathematical Finance</topic><toplevel>online_resources</toplevel><creatorcontrib>Armstrong, John</creatorcontrib><creatorcontrib>Buescu, Cristin</creatorcontrib><creatorcontrib>Dalby, James</creatorcontrib><collection>arXiv.org</collection></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext_linktorsrc</fulltext></delivery><addata><au>Armstrong, John</au><au>Buescu, Cristin</au><au>Dalby, James</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Optimal post-retirement investment under longevity risk in collective funds</atitle><date>2024-09-06</date><risdate>2024</risdate><abstract>We study the optimal investment problem for a homogeneous collective of $n$
individuals investing in a Black-Scholes model subject to longevity risk with
Epstein--Zin preferences. %and with preferences given by power utility. We
compute analytic formulae for the optimal investment strategy, consumption is
in discrete-time and there is no systematic longevity risk. We develop a
stylised model of systematic longevity risk in continuous time which allows us
to also obtain an analytic solution to the optimal investment problem in this
case. We numerically solve the same problem using a continuous-time version of
the Cairns--Blake--Dowd model. We apply our results to estimate the potential
benefits of pooling longevity risk over purchasing an insurance product such as
an annuity, and to estimate the benefits of optimal longevity risk pooling in a
small heterogeneous fund.</abstract><doi>10.48550/arxiv.2409.15325</doi><oa>free_for_read</oa></addata></record> |
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| subjects | Quantitative Finance - Mathematical Finance |
| title | Optimal post-retirement investment under longevity risk in collective funds |
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