| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10595 |
| DP10595 A Multivariate Model of Strategic Asset Allocation with Longevity Risk | |
| Carlo A. Favero; Giacomo Nocera | |
| 发表日期 | 2015-05-17 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | Generalized unexpected raise in life expectancy is a source of aggregate risk. Longevity-linked securities are a natural instrument to reallocate these risks by making them tradable in the financial market. This paper extends the Campbell and Viceira (2005) strategic asset allocation model including a longevity-linked investment possibility in addition to equity and fixed income securities. Estimation of the model, based on prices for standardized annuities publicly offered by US 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. The empirical valuation of the market price of longevity risk confirms that longevity linked securities offer cheap funding opportunities to asset managers willing to leverage their investment portfolio. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Longevity risk Strategic asset allocation |
| URL | https://cepr.org/publications/dp10595 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539427 |
| 推荐引用方式 GB/T 7714 | Carlo A. Favero,Giacomo Nocera. DP10595 A Multivariate Model of Strategic Asset Allocation with Longevity Risk. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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