UNIGE document Report
previous document  unige:5805  next document
add to browser collection
Title

Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases

Authors
Battocchio, Paolo
Menoncin, Francesco
Year 2003
Collection Cahiers de recherche; 2003.03
Abstract In a financial market with one riskless asset and n risky assets following geometric Brownian motions, we solve the problem of a pension fundmaximizing the expected CRRA utility of its terminal wealth. By considering a stochastic death time for a subscriber, we solve a unique problem for both accumulation and decumulation phases. We show that the optimal asset allocation during these two phases must be di¤erent. In particular, during the first phase the investment in the risky assets should decrease through time to meet future contractual pension payments while, during the second phase, the risky investment should increase through time because of closeness of death time. Our findings also suggest that it is not optimal to manage the two phases separately.
Keywords Pension fundMortality riskAsset allocation
Full text
Structures
Citation
(ISO format)
BATTOCCHIO, Paolo, MENONCIN, Francesco, SCAILLET, Olivier. Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases. 2003 https://archive-ouverte.unige.ch/unige:5805

287 hits

544 downloads

Update

Deposited on : 2010-04-15

Export document
Format :
Citation style :