| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5077451 | Insurance: Mathematics and Economics | 2008 | 15 Pages |
Abstract
In the second part of this paper, we study the asset allocation problem of pure endowment and annuity portfolios. In order to solve this problem, we study the “risk-minimizing” strategies of such portfolios, when some but not all longevity bonds are available for trading. In this way, we introduce different basis risks.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Jérôme Barbarin,