G2TT
来源类型Discussion paper
规范类型论文
来源IDDP10595
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
URLhttps://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.
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