Pension schemes as options on pension fund assets: implications for pension fund management
From MaRDI portal
Publication:1282144
DOI10.1016/S0167-6687(98)00048-1zbMath0920.62130MaRDI QIDQ1282144
Publication date: 28 March 1999
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
options; duration; asset allocation; fund management; funded pension schemes; immunisation; pension assets
62P05: Applications of statistics to actuarial sciences and financial mathematics
Related Items
Pension fund investments and the valuation of liabilities under conditional indexation, Valuation of intergenerational transfers in funded collective pension schemes, Optimal portfolio and background risk: an exact and an approximated solution., Stochastic optimal control of annuity contracts., Surplus-linked life insurance
Cites Work
- The Pricing of Options and Corporate Liabilities
- A stochastic-dynamic approach to pension funding
- A two-parameter family of pension contribution functions and stochastic optimization
- Theory of constant proportion portfolio insurance
- Dynamic approaches to pension funding
- Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods