Unhedgeable inflation risk within pension schemes

DOI10.1016/J.INSMATHECO.2019.10.009MaRDI QIDQ2292172zbMATH OpenOpenAlexWikidataFDO

Authors D. H. J. Chen, S. J. G. van Wijnbergen, Roel M. W. J. Beetsma

Publication date 3 February 2020

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2019.10.009

zbMATH Keywords

incomplete marketspension contractunhedgeable inflation riskvaluationwelfare loss

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Actuarial mathematics (91G05)

Recommendations

• Benefit uncertainty and default risk in pension plans
• Optimal investment for a pension fund under inflation risk
• The real risk in pension forecasting
• Defined contribution pension fund scheme with HARA preference under inflation risk
• Hedging longevity risk in defined contribution pension schemes
• Financial and demographic risks impact on a pay-as-you-go pension fund
• Relative performance concern on DC pension plan under Heston model with inflation risk
• Optimal management and inflation protection for defined contribution pension plans
• Pension funding incorporating downside risks.

Cites work

• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Equity-Indexed Life Insurance: Pricing and Reserving Using the Principle of Equivalent Utility
• Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting
• Global optimization of statistical functions with simulated annealing
• Investment Policy for Defined-Contribution Pension Scheme Members Close to Retirement
• Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model
• Optimal asset allocation for DC pension plans under inflation
• Pension fund investments and the valuation of liabilities under conditional indexation
• The pricing of liabilities in an incomplete market using dynamic mean-variance hedging
• Valuation and hedging of participating life-insurance policies under management discretion
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION

Cited in

(4)

• Optimal DC pension management under inflation risk with jump diffusion price index and cost of living process
• The real risk in pension forecasting
• Intergenerational sharing of unhedgeable inflation risk
• Optimal income drawdown and investment with longevity basis risk

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