Managing contribution and capital market risk in a funded public defined benefit plan: impact of CVaR cost constraints

DOI10.1016/j.insmatheco.2009.02.007zbMath1231.91216OpenAlexW3126015603MaRDI QIDQ659088

Ralph Rogalla, Olivia S. Mitchell, Raimond H. Maurer

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://repository.upenn.edu/prc_papers/300

zbMATH Keywords

conditional value at riskfundingdefined benefitpublic pensionscontribution rate riskinvesting

Mathematics Subject Classification ID

Related Items

Pension risk management with funding and buyout options ⋮ A new defined benefit pension risk measurement methodology ⋮ De-risking defined benefit plans ⋮ Downside Risk Management of a Defined Benefit Plan Considering Longevity Basis Risk

Cites Work

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• Dynamic asset liability management with tolerance for limited shortfalls
• Coherent Measures of Risk
• Risk measurement and management of defined benefit pension schemes: a stochastic approach
• Efficient Gain and Loss Amortization and Optimal Funding in Pension Plans
• Pension Fund Dynamics and Gains/Losses Due to Random Rates of Investment Return
• Contribution and solvency risk in a defined benefit pension scheme

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