New Study Reveals Vulnerabilities in Pension Longevity Risk Management Strategies
The article discusses how to manage risks in a pension plan due to unexpected changes in life expectancy and market instability. The researchers suggest using a specific model with constraints to control these risks. They compare two strategies for managing longevity risk, finding that one strategy is more vulnerable to basis risk than previously thought. This means that the more popular strategy may not always be the best choice for managing pension risks.