Rentes en cours de service : un nouveau critère d'allocation d'actif - Quantitative Finance > Portfolio ManagementReport as inadecuate




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Abstract: The aim of this paper is to compare two asset allocation methods for apension scheme during the decumulation phase in the simplified portfolioselection between a risky asset following a geometric Brownian motion and ariskless asset. The two asset allocation criteria are the ruin probability ofthe insurance company and the optimization of the economic capital. We firstsolve the asset allocation problem with deterministic pension payments thenwith stochastic mortality risk. We analyze the part of mortality risk in theglobal risk of the company. Then we show the impact of the indexation of thepensions to the inflation on the asset allocation.



Author: Frédéric Planchet SAF, Pierre-Emanuel Thérond SAF

Source: https://arxiv.org/



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