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

Paolo Battocchio, Francesco Menoncin, Olivier Scaillet. Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases. Annals OR, 152(1):141-165, 2007. [doi]

Authors

Paolo Battocchio

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Francesco Menoncin

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Olivier Scaillet

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