English, Article, Journal or magazine article edition: Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases Paolo, BATTOCCHIO; Francesco, MENONCIN; Olivier, SCAILLET

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Bookmark: http://trove.nla.gov.au/version/178712
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases
Author
  • Paolo, BATTOCCHIO
  • Francesco, MENONCIN
  • Olivier, SCAILLET
Physical Description
  • preprint
Notes
  • RePEc:ema:worpap:2003-28
  • In a financial market with one riskless asset and n risky assets following geometric Brownian motions, we solve the problem of a pension fund maximizing the expected CRRA utility of its terminal wealth. By considering a stochastic death time for a subscriber, we solve a unique problem for bot accumulation and decumulation phases. We show that the optimal asset allocation during these two phases must be different. In particular, during the first 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.
  • pension funds; mortality risk; asset allocation
  • RePEc:ctl:louvir:2003004
Language
  • English
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