英文标题：
《Hedging longevity risk in defined contribution pension schemes》
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作者：
Ankush Agarwal, Christian-Oliver Ewald and Yongjie Wang
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最新提交年份：
2020
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英文摘要：
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.
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中文摘要：
全世界的养老金计划都面临着越来越大的压力，需要有效地对冲人口老龄化带来的长寿风险。在这项工作中，我们研究了固定缴款养老金计划的最优投资问题，该计划决定使用与死亡率相关的证券（通常是长寿债券）对冲长寿风险。养老金计划投资于市场上可用的风险资产，包括长寿债券，通过使用代表性计划成员的供款来确保最低保证，使成员能够在退休后购买终身年金。我们通过复制成员未来供款的自筹资金投资组合和该计划提供的最低担保，将该约束最优投资问题转化为无约束问题。我们利用动态规划原理解决了由此产生的优化问题，并通过一系列的数值研究表明，长寿风险对投资策略的绩效有着重要的影响。我们的结果提供了数学证据，支持使用与死亡率相关的证券有效对冲长寿风险。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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