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EnglishPopulation-wide increase in life expectancy is a source of aggregate risk. Longevity-linked securities are a natural instrument to reallocate it. This paper extends the standard Campbell and Viceira (2005) strategic asset allocation model by including a longevity-linked investment possibility. Model estimation, based on prices for standardized annuities publicly offered by United States 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.
| Titolo: | A multivariate model of strategic asset allocation with longevity risk |
| Data di pubblicazione: | 2017 |
| Autori: | |
| Autori: | Bisetti, Emilio; Favero, Carlo A.; Nocera, Giacomo; Tebaldi, Claudio |
| Rivista: | JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS |
| Abstract: | Population-wide increase in life expectancy is a source of aggregate risk. Longevity-linked securities are a natural instrument to reallocate it. This paper extends the standard Campbell and Viceira (2005) strategic asset allocation model by including a longevity-linked investment possibility. Model estimation, based on prices for standardized annuities publicly offered by United States 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. |
| Appare nelle tipologie: | 01 - Articolo su rivista Scientifica |
File in questo prodotto:
| File | Descrizione | Tipologia | Licenza | |
|---|---|---|---|---|
| letter_JFQA.pdf | lettera di accettazione da parte dell'editorial office | Allegato per valutazione Bocconi (Attachment for Bocconi evaluation) | NON PUBBLICO - Accesso privato/ristretto | Administrator Richiedi una copia |
| multivariate_model_of_strategic_asset_allocation_with_longevity_risk.pdf | Articolo Principale | Pdf editoriale (Publisher's layout) | NON PUBBLICO - Accesso privato/ristretto | Administrator Richiedi una copia |
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