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TARGET VOLATILITY STRATEGIES FOR GROUP SELF-ANNUITY PORTFOLIOS - MaRDI portal

TARGET VOLATILITY STRATEGIES FOR GROUP SELF-ANNUITY PORTFOLIOS (Q5866180)

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scientific article; zbMATH DE number 7540872
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TARGET VOLATILITY STRATEGIES FOR GROUP SELF-ANNUITY PORTFOLIOS
scientific article; zbMATH DE number 7540872

    Statements

    title
    TARGET VOLATILITY STRATEGIES FOR GROUP SELF-ANNUITY PORTFOLIOS (English)
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    author
    Annamaria Olivieri
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    Samuel Thirurajah
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    Jonathan Ziveyi
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    publication date
    13 June 2022
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    zbMATH Keywords
    group self-annuitization
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    longevity-linked annuity benefits
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    investment-linked annuity benefits
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    mortality credits
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    target volatility strategy
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    exponentially weighted moving average
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    Heston stochastic volatility model
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    Identifiers

    zbMATH DE Number
    7540872
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    OpenAlex ID
    W4223574623
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    DOI
    10.1017/ASB.2022.7
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