Intergenerational risk sharing in closing pension funds

DOI10.1016/J.INSMATHECO.2017.02.002MaRDI QIDQ2397850zbMATH OpenOpenAlexFDO

Authors Tim J. Boonen, Anja De Waegenaere

Publication date 24 May 2017

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

Full work available at URL http://hdl.handle.net/11245.1/35edb843-e344-4b68-b9bf-ee4176fb9f1e

zbMATH Keywords

pension fundsdefined benefitdynamic bargainingintergenerational risk sharingasymmetric Nash bargaining solution

Mathematics Subject Classification ID

Recommendations

• Pension funds as institutions for intertemporal risk transfer
• Structure of intergenerational risk-sharing plans: optimality and fairness
• Target benefit pension plan with longevity risk and intergenerational equity
• Valuation of intergenerational transfers in funded collective pension schemes
• Intergenerational risk sharing, pensions, and endogenous labour supply in general equilibrium

Cites work

• A note on nonzero-sum differential games with bargaining solution
• Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods
• Informal Insurance Arrangements with Limited Commitment: Theory and Evidence from Village Economies
• Nonsymmetric Nash solutions and replications of 2-person bargaining
• Optimum consumption and portfolio rules in a continuous-time model
• Pension saving schemes with return smoothing mechanism
• Pension schemes as options on pension fund assets: implications for pension fund management
• Perfect Equilibrium in a Bargaining Model
• TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
• The Nash bargaining solution is optimal
• The bargaining problem
• Time-consistent actuarial valuations
• Valuation of intergenerational transfers in funded collective pension schemes

Cited in

(10)

• Intergenerational sharing of unhedgeable inflation risk
• Pension fund taxation and risk-taking: should we switch from the EET to the TEE regime?
• Optimal contribution rate of PAYGO pension
• Pension funds as institutions for intertemporal risk transfer
• Intergenerational risk sharing, pensions, and endogenous labour supply in general equilibrium
• Structure of intergenerational risk-sharing plans: optimality and fairness
• Replicating intergenerational longevity risk sharing in collective defined contribution pension plans using financial markets
• Valuation of intergenerational transfers in funded collective pension schemes
• Intergenerational risk sharing in a defined contribution pension system: analysis with Bayesian optimization
• Levelling the playing field: a VIX-linked structure for funded pension schemes

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