Performance measurement of pension strategies: a case study of Danish life cycle products

DOI10.1080/03461238.2010.537835zbMath1279.91095OpenAlexW4247832960MaRDI QIDQ2866309

Kitt Skovsø Petersen, Ana M. Pérez-Marín, Jens Perch Nielsen, Montserrat Guillen

Publication date: 13 December 2013

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2010.537835

zbMATH Keywords

pension industrypension performance measurementretirement wealthsaving schemes

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items

On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes

Uses Software

• QRM

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The effect of management discretion on hedging and fair valuation of participating policies with maturity guarantees
• Valuation of life insurance surrender and exchange options
• Optimal investment and life insurance strategies under minimum and maximum constraints
• Valuation of intergenerational transfers in funded collective pension schemes
• Intervention options in life insurance
• Portfolio choice with endogenous utility: a large deviations approach.
• Mutual fund evaluation: a portfolio insurance approach. A heuristic application in Spain
• Return smoothing mechanisms in life and pension insurance: path-dependent contingent claims
• Modelling and management of mortality risk: a review
• On systematic mortality risk and risk-minimization with survivor swaps
• The evolution of death rates and life expectancy in Denmark
• Reference mortality K2004 of personal life insurance policies in Finland
• Can stocks help mend the asset and liability mismatch?
• Quadratic Optimization of Life and Pension Insurance Payments
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions
• Arbitrage Theory in Continuous Time
• Optimal investment strategy for defined contribution pension schemes