Abstract
This thesis presents mathematical models for longevity risk management. An overall objective is to develop methods for hedging the cash flows of longevitylinked liabilities on financial markets. This is obtained by modelling the law of a multivariate stochastic process describing mortality and asset returns, with particular emphasis on the longterm development of mortality and its connections with asset returns. The resulting stochastic model is then applied to study the roles of systematic and nonsystematic risks in pension portfolios and, ultimately, to investigate optimal investment from the viewpoint of an investor with longevitylinked liabilities. We show how the hedge of a longevitylinked cash flow can be improved by taking the liabilities into account in investment decisions.
Translated title of the contribution  Matemaattisia malleja pitkäikäisyysriskin hallintaan 

Original language  English 
Qualification  Doctor's degree 
Awarding Institution 

Supervisors/Advisors 

Publisher  
Print ISBNs  9789526052694 
Electronic ISBNs  9789526052700 
Publication status  Published  2013 
MoE publication type  G5 Doctoral dissertation (article) 
Keywords
 longevity risk
 stochastic modelling
 stochastic optimization
 systematic mortality risk
 nonsystematic mortality risk
 market risk
 hedging
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Cite this
Aro, H. (2013). Mathematical Models for Longevity Risk Management. Aalto University. http://urn.fi/URN:ISBN:9789526052700