Pension saving schemes with return smoothing mechanism
From MaRDI portal
Publication:2015634
DOI10.1016/j.insmatheco.2013.09.010zbMath1290.91087MaRDI QIDQ2015634
Publication date: 23 June 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.09.010
limit distribution; inverse gamma distribution; intergenerational risk transfer; collective saving; fair profit participation; return smoothing mechanism; risk neutral evaluation; risk return profile
Related Items
Valuation of an early exercise defined benefit underpin hybrid pension, Structure of intergenerational risk-sharing plans: optimality and fairness, Equity-linked life insurance based on traditional products: the case of select products, Allowance for surplus funds under Solvency II: adequate reflection of risk sharing between policyholders and shareholders in a risk-based solvency framework?, Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan, A new approach for satisfactory pensions with no guarantees, On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes, Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees, Intergenerational risk sharing in closing pension funds, Return smoothing in life insurance from a client perspective
Cites Work
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- Risk comparison of different bonus distribution approaches in participating life insurance
- A joint valuation of premium payment and surrender options in participating life insurance contracts
- Fair valuation of participating policies with surrender options and regime switching
- Pension funds as institutions for intertemporal risk transfer
- Exponential functionals of Brownian motion. I: Probability laws at fixed time
- Valuation of intergenerational transfers in funded collective pension schemes
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Risk analysis and valuation of life insurance contracts: combining actuarial and financial approaches
- Analyzing surplus appropriation schemes in participating life insurance from the insurer's and the policyholder's perspective
- Return smoothing mechanisms in life and pension insurance: path-dependent contingent claims
- Risk measure and fair valuation of an investment guarantee in life insurance
- The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
- Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
- Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
- Approximations of boundary crossing probabilities for a Brownian motion
- Stochastic differential equations. An introduction with applications.
