A Multivariate Model of Strategic Asset Allocation with Longevity Risk
在标准战略资产配置模型中引入长寿相关投资，基于美国保险公司年金价格估计模型，发现生存概率的总体冲击可预测长寿相关证券的长期收益，并揭示意外预测模式，为资产管理者提供低成本融资机会。
Population-wide increase in life expectancy is a source of aggregate risk. Longevity-linked securities are a natural instrument to reallocate that risk. This paper extends the standard Campbell–Viceira (2005) strategic asset allocation model by including a longevity-linked investment possibility. Model estimation, based on prices for standardized annuities publicly offered by U.S. insurance companies, shows that aggregate shocks to survival probabilities are predictors for long-term returns of the longevity-linked securities, and reveals an unexpected predictability pattern. Valuation of longevity risk premium confirms that longevity-linked securities offer inexpensive funding opportunities to asset managers.