Immunization strategies for funding multiple inflation-linked retirement income benefits

Detalhes bibliográficos
Autor(a) principal: Simões, Cláudia
Data de Publicação: 2021
Outros Autores: Oliveira, Luís, Bravo, Jorge M.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/115824
Resumo: Simões, C., Oliveira, L., & Bravo, J. M. (2021). Immunization strategies for funding multiple inflation-linked retirement income benefits. Risks, 9(4), [60]. https://doi.org/10.3390/risks9040060
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spelling Immunization strategies for funding multiple inflation-linked retirement income benefitsDurationImmunizationInflation riskInterest rate riskLife insuranceM-AbsolutePensionsAccountingEconomics, Econometrics and Finance (miscellaneous)Strategy and ManagementSimões, C., Oliveira, L., & Bravo, J. M. (2021). Immunization strategies for funding multiple inflation-linked retirement income benefits. Risks, 9(4), [60]. https://doi.org/10.3390/risks9040060Protecting against unexpected yield curve, inflation, and longevity shifts are some of the most critical issues institutional and private investors must solve when managing post-retirement income benefits. This paper empirically investigates the performance of alternative immunization strategies for funding targeted multiple liabilities that are fixed in timing but random in size (inflation-linked), i.e., that change stochastically according to consumer price or wage level indexes. The immunization procedure is based on a targeted minimax strategy considering the M-Absolute as the interest rate risk measure. We investigate to what extent the inflation-hedging properties of ILBs in asset liability management strategies targeted to immunize multiple liabilities of random size are superior to that of nominal bonds. We use two alternative datasets comprising daily closing prices for U.S. Treasuries and U.S. inflation-linked bonds from 2000 to 2018. The immunization performance is tested over 3-year and 5-year investment horizons, uses real and not simulated bond data and takes into consideration the impact of transaction costs in the performance of immunization strategies and in the selection of optimal investment strategies. The results show that the multiple liability immunization strategy using inflation-linked bonds outperforms the equivalent strategy using nominal bonds and is robust even in a nearly zero interest rate scenario. These results have important implications in the design and structuring of ALM liability-driven investment strategies, particularly for retirement income providers such as pension schemes or life insurance companies.Information Management Research Center (MagIC) - NOVA Information Management SchoolNOVA Information Management School (NOVA IMS)RUNSimões, CláudiaOliveira, LuísBravo, Jorge M.2021-04-19T22:43:38Z2021-04-012021-04-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article28application/pdfhttp://hdl.handle.net/10362/115824eng2227-9091PURE: 29276303https://doi.org/10.3390/risks9040060info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:58:19Zoai:run.unl.pt:10362/115824Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:42:51.125650Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Immunization strategies for funding multiple inflation-linked retirement income benefits
title Immunization strategies for funding multiple inflation-linked retirement income benefits
spellingShingle Immunization strategies for funding multiple inflation-linked retirement income benefits
Simões, Cláudia
Duration
Immunization
Inflation risk
Interest rate risk
Life insurance
M-Absolute
Pensions
Accounting
Economics, Econometrics and Finance (miscellaneous)
Strategy and Management
title_short Immunization strategies for funding multiple inflation-linked retirement income benefits
title_full Immunization strategies for funding multiple inflation-linked retirement income benefits
title_fullStr Immunization strategies for funding multiple inflation-linked retirement income benefits
title_full_unstemmed Immunization strategies for funding multiple inflation-linked retirement income benefits
title_sort Immunization strategies for funding multiple inflation-linked retirement income benefits
author Simões, Cláudia
author_facet Simões, Cláudia
Oliveira, Luís
Bravo, Jorge M.
author_role author
author2 Oliveira, Luís
Bravo, Jorge M.
author2_role author
author
dc.contributor.none.fl_str_mv Information Management Research Center (MagIC) - NOVA Information Management School
NOVA Information Management School (NOVA IMS)
RUN
dc.contributor.author.fl_str_mv Simões, Cláudia
Oliveira, Luís
Bravo, Jorge M.
dc.subject.por.fl_str_mv Duration
Immunization
Inflation risk
Interest rate risk
Life insurance
M-Absolute
Pensions
Accounting
Economics, Econometrics and Finance (miscellaneous)
Strategy and Management
topic Duration
Immunization
Inflation risk
Interest rate risk
Life insurance
M-Absolute
Pensions
Accounting
Economics, Econometrics and Finance (miscellaneous)
Strategy and Management
description Simões, C., Oliveira, L., & Bravo, J. M. (2021). Immunization strategies for funding multiple inflation-linked retirement income benefits. Risks, 9(4), [60]. https://doi.org/10.3390/risks9040060
publishDate 2021
dc.date.none.fl_str_mv 2021-04-19T22:43:38Z
2021-04-01
2021-04-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/115824
url http://hdl.handle.net/10362/115824
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 2227-9091
PURE: 29276303
https://doi.org/10.3390/risks9040060
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 28
application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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