scholarly journals A Multivariate Model of Strategic Asset Allocation with Longevity Risk

2014 ◽  
Author(s):  
Emilio Bisetti ◽  
Giacomo Nocera ◽  
Carlo A. Favero ◽  
Claudio Tebaldi
Keyword(s):  
Asset Allocation ◽  
Multivariate Model ◽  
Longevity Risk ◽  
Strategic Asset Allocation

scholarly journals A Multivariate Model of Strategic Asset Allocation with Longevity Risk

2015 ◽  
Author(s):  
Emilio Bisetti ◽  
Carlo A. Favero ◽  
Giacomo Nocera ◽  
Claudio Tebaldi
Keyword(s):  
Asset Allocation ◽  
Multivariate Model ◽  
Longevity Risk ◽  
Strategic Asset Allocation

scholarly journals A Multivariate Model of Strategic Asset Allocation

10.3386/w8566 ◽  
2001 ◽  
Author(s):  
John Campbell ◽  
Yeung Lewis Chan ◽  
Luis Viceira
Keyword(s):  
Asset Allocation ◽  
Multivariate Model ◽  
Strategic Asset Allocation

A Multivariate Model of Strategic Asset Allocation

CFA Digest ◽  
2003 ◽  
Vol 33 (3) ◽  
pp. 76-78
Author(s):  
Christopher J. Sullivan
Keyword(s):  
Asset Allocation ◽  
Multivariate Model ◽  
Strategic Asset Allocation

scholarly journals A Multivariate Model of Strategic Asset Allocation with Longevity Risk

2017 ◽  
Vol 52 (5) ◽  
pp. 2251-2275 ◽  
Author(s):  
Emilio Bisetti ◽  
Carlo A. Favero ◽  
Giacomo Nocera ◽  
Claudio Tebaldi
Keyword(s):  
Asset Allocation ◽  
Risk Premium ◽  
Insurance Companies ◽  
Longevity Risk ◽  
Allocation Model ◽  
Aggregate Shocks ◽  
Strategic Asset Allocation ◽  
Funding Opportunities ◽  
Asset Managers

Population-wide increase in life expectancy is a source of aggregate risk. Longevity-linked securities are a natural instrument to reallocate that risk. This paper extends the standard Campbell–Viceira (2005) strategic asset allocation model by including a longevity-linked investment possibility. Model estimation, based on prices for standardized annuities publicly offered by U.S. insurance companies, shows that aggregate shocks to survival probabilities are predictors for long-term returns of the longevity-linked securities, and reveals an unexpected predictability pattern. Valuation of longevity risk premium confirms that longevity-linked securities offer inexpensive funding opportunities to asset managers.

scholarly journals A multivariate model of strategic asset allocation

2003 ◽  
Vol 67 (1) ◽  
pp. 41-80 ◽  
Author(s):  
John Y. Campbell ◽  
Yeung Lewis Chan ◽  
Luis M. Viceira
Keyword(s):  
Asset Allocation ◽  
Multivariate Model ◽  
Strategic Asset Allocation
Sign in / Sign up

Export Citation Format

Share Document