Sustainability of participation in collective pension schemes: an option pricing approach

DOI10.1016/j.insmatheco.2017.03.007zbMath1394.91199OpenAlexW3121425935MaRDI QIDQ2397865

D. H. J. Chen, Dirk Broeders, Antoon Pelsser, Roel M. W. J. Beetsma

Publication date: 24 May 2017

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

Full work available at URL: https://cris.maastrichtuniversity.nl/ws/files/77708021/Broeders_2017_Sustainability_of_participation_in_collective.pdf

zbMATH Keywords

contributionoptionsustainabilityleast squares Monte Carlo methodexplicit finite difference methodcollective defined-contribution and hybrid pension fundsdefined-benefitparticipation decision

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility, Target benefit pension plan with longevity risk and intergenerational equity, Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan, Structure of intergenerational risk-sharing plans: optimality and fairness, FAIR TRANSITION FROM DEFINED BENEFIT TO TARGET BENEFIT

Cites Work

• Stability of pension systems when rates of return are random
• A general version of the fundamental theorem of asset pricing
• Optimal actuarial fairness in pension systems: A note
• If we can simulate it, we can insure it: an application to longevity risk management
• The Power of Suggestion: Inertia in 401(k) Participation and Savings Behavior