Linear risk sharing in intergenerational pension

DOI10.1080/03461238.2024.2405927MaRDI QIDQ6997993zbMATH OpenFDO

Authors Michail Anthropelos, An Chen, Steven Vanduffel, Morten Wilke

Publication date 11 April 2025

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

Full work available at URL https://doi.org/10.1080/03461238.2024.2405927

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites work

• A Simple Expression for the Shapley Value in a Special Case
• Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation
• Empirical properties of asset returns: stylized facts and statistical issues
• How suboptimal are linear sharing rules?
• scientific article; zbMATH DE number 3078997 (Why is no real title available?)
• Intergenerational risk sharing in a defined contribution pension system: analysis with Bayesian optimization
• On the investment strategies in occupational pension plans
• Structure of intergenerational risk-sharing plans: optimality and fairness
• The hurdle-race problem.
• Theory of constant proportion portfolio insurance

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