A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Paper develops a two-population model to assess longevity basis risk.
Study optimizes pension scheme risk-sharing for longevity bonds.
This paper addresses the risk-minimization problem, with and without mortality securitization, à la Föllmer-Sondermann for a large class of equity-linked mortality contracts when no model for the death time is specified. This framework includes the situation where the correlation between the market model and the time o…
Optimizes investment strategies for retirees with longevity risk.
Paper proposes a natural hedging framework with graphical assessment for longevity risk management.
This paper assesses the hedge effectiveness of an index-based longevity swap and a longevity cap. Although swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay-offs, such as longevity caps, also provide downside protection. A tractable stochastic mortality model with age dependent …
We propose the use of statistical emulators for the purpose of valuing mortality-linked contracts in stochastic mortality models. Such models typically require (nested) evaluation of expected values of nonlinear functionals of multi-dimensional stochastic processes. Except in the simplest cases, no closed-form expressi…
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 lo…
Two pension funds mutually insure against longevity risk.
Modeling longevity bonds with a Vasicek model for better risk management.
The paper explores how to fairly share longevity risk among participants of tontine schemes.
Who {\em values} life annuities more? Is it the healthy retiree who expects to live long and might become a centenarian, or is the unhealthy retiree with a short life expectancy more likely to appreciate the pooling of longevity risk? What if the unhealthy retiree is pooled with someone who is much healthier and thus f…
Historical tontines promised enormous rewards to the last survivors at the expense of those who died early. While this design appealed to the gambling instinct, it is a suboptimal way to manage longevity risk during retirement. This is why fair life annuities making constant payments -- where the insurance company is e…
Neural network model improves longevity risk assessment.
Optimizes retirement income with MBGs and neural networks for longevity risk.
We consider a market model where there are two levels of information. The public information generated by the financial assets, and a larger flow of information that contains additional knowledge about a random time. This random time can represent many economic and financial settings, such as the default time of a firm…
Analyzes how many people can receive stable income in a pooled annuity fund.
This paper studies optimal investment from the point of view of an investor with longevity-linked liabilities. The relevant optimization problems rarely are analytically tractable, but we are able to show numerically that liability driven investment can significantly outperform common strategies that do not take the li…
Adaptive strategies reduce pension fund costs and risks.
In this paper, we discuss the impact of some mortality data anomalies on an internal model capturing longevity risk in the Solvency 2 framework. In particular, we are concerned with abnormal cohort effects such as those for generations 1919 and 1920, for which the period tables provided by the Human Mortality Database …
Tontines were once a popular type of mortality-linked investment pool. They promised enormous rewards to the last survivors at the expense of those died early. And, while this design appealed to the gambling instinc}, it is a suboptimal way to generate retirement income. Indeed, actuarially-fair life annuities making c…
Compact formulas for evaluating insurance policies' risks.
Paper studies optimal investing for retirees with risk constraints.
Proposes a new model for mortality forecasting considering age groups and cohort effects.
The purpose of this article is twofold. First, we motivate the need for a new type of stand-alone retirement income insurance product that would help individuals protect against personal longevity risk and possible "retirement ruin" in an economically efficient manner. We label this product a ruin-contingent life annui…
A new tontine design aims to protect longevity risk with non-indexed investments.
The study uses ML and AI to forecast pension fund mortality, outperforming traditional methods.
The paper develops a valuation framework for GLWB-LTC contracts with Levy dynamics and stochastic interest rates.
Upper bounds on utility for managing heterogeneous collectivised funds.
We consider a time-consistent mean-variance portfolio selection problem of an insurer and allow for the incorporation of basis (mortality) risk. The optimal solution is identified with a Nash subgame perfect equilibrium. We characterize an optimal strategy as solution of a system of partial integro-differential equatio…
This paper analyzes a novel type of mortality contingent-claim called a ruin-contingent life annuity (RCLA). This product fuses together a path-dependent equity put option with a "personal longevity" call option. The annuitant's (i.e. long position) payoff from a generic RCLA is \$1 of income per year for life, akin to…
In this paper we investigate the pricing problem of a pure endowment contract when the insurer has a limited information on the mortality intensity of the policyholder. The payoff of this kind of policies depends on the residual life time of the insured as well as the trend of a portfolio traded in the financial market…
In this article we investigate a state-space representation of the Lee-Carter model which is a benchmark stochastic mortality model for forecasting age-specific death rates. Existing relevant literature focuses mainly on mortality forecasting or pricing of longevity derivatives, while the full implications and methods …
The paper optimizes insurance purchases for financial goals.
This study tackles basis risk in weather parametric insurance using Monte Carlo simulations.
We use life annuity prices to extract information about human longevity using a framework that links the term structure of mortality and interest rates. We invert the model and perform nonlinear least squares to obtain implied longevity forecasts. Methodologically, we assume a Cox-Ingersoll-Ross (CIR) model for the und…
Extends model uncertainty framework to non-linear affine processes for longevity bonds and contingent claims.
New tontine model with transaction costs for retirees.
Unified framework explains retirement and annuitization decisions under age-dependent mortality.
New model incorporates long-range dependence in mortality rates for better valuation and risk management.
Study on hedging and valuation of basis risk in incomplete markets with partial information.
The study examines how formal index insurance compares to informal risk sharing in managing natural disasters.
Cointegration helps insurers understand long-range mortality patterns.
We present, solve and numerically simulate a simple model that describes the consequences of increased longevity on fertility rates, population growth and the distribution of wealth in developed societies. We look at the consequences of the repeated use of life extension techniques and show that they represent a novel …
We study the problem of dynamically trading a futures contract and its underlying asset under a stochastic basis model. The basis evolution is modeled by a stopped scaled Brownian bridge to account for non-convergence of the basis at maturity. The optimal trading strategies are determined from a utility maximization pr…
The paper explains the fair basis in bond-CDS trading during financial crises.
Optimal timing for converting savings into annuities considering mortality risk.
Method to decompose portfolio performance into FX, interest rate, carry, and residual market risks.