The role of longevity bonds in optimal portfolios

Author:

Menoncin Francesco

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference25 articles.

1. Azzoppardi, M., 2005. The longevity bond. In: First International Conference on Longevity Risk and Capital Markets Solutions

2. Econometric analysis of a continuous time multi-factor generalized Vasicek term structure model: International evidence;Babbs;Asian-Pacific Financial Market,1998

3. Kalman filtering of generalized Vasicek term structure models;Babbs;Journal of Financial and Quantitative Analysis,1999

4. Optimal management under stochastic interest;Boulier;Insurance: Mathematics and Economics,2001

5. Dynamic consumption and portfolio choice with stochastic volatility in incomplete markets;Chacko;The Review of Financial Studies,2005

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