2013/07/31 by Helena Aro, Aro, Helena, Teemu Pennanen +1
Economics, Econometrics and Finance · Social Sciences · #Computational Finance (q-fin.CP) #Economic theories and models #FOS: Economics and business #Financial Markets and Investment Strategies #Insurance, Mortality, Demography, Risk Management #Risk Management (q-fin.RM)
paper · pdf · doi:10.48550/arxiv.1307.8261
openalex publication_date 2013/07/31 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
This paper studies optimal investment from the point of view of an investor with longevity-linked liabilities. The relevant optimization problems rarely are analytically tractable, but we are able to show numerically that liability driven investment can significantly outperform common strategies that do not take the liabilities into account. In problems without liabilities the advantage disappears, which suggests that the superiority of the proposed strategies is indeed based on connections between liabilities and asset returns.