Sustainability of participation in collective pension schemes: an option pricing approach

DOI10.1016/J.INSMATHECO.2017.03.007MaRDI QIDQ2397865zbMATH OpenOpenAlexFDO

Authors D. H. J. Chen, Dirk Broeders, Antoon Pelsser, Roel M. W. J. Beetsma

Publication date 24 May 2017

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

Full work available at URL https://cris.maastrichtuniversity.nl/ws/files/77708021/Broeders_2017_Sustainability_of_participation_in_collective.pdf

zbMATH Keywords

contributionsustainabilityoptionleast squares Monte Carlo methodexplicit finite difference methodcollective defined-contribution and hybrid pension fundsdefined-benefitparticipation decision

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Optimal strategies for pay-as-you-go pension finance: a sustainability framework
• Sustainability of pension systems with voluntary participation
• Designing and pricing guarantee options in defined contribution pension plans
• Optimal mix between pay as you go and funding for pension liabilities in a stochastic framework
• Pricing participating inflation retirement funds through option modeling and copulas
• Replicating intergenerational longevity risk sharing in collective defined contribution pension plans using financial markets
• A stochastic-dynamic approach to pension funding
• Portfolio optimization and intergenerational risk sharing for a collective defined contribution pension plan
• A portfolio approach to the optimal funding of pensions
• Optimal contributions in a defined benefit pension scheme with stochastic new entrants

Cites work

• A general version of the fundamental theorem of asset pricing
• If we can simulate it, we can insure it: an application to longevity risk management
• Optimal actuarial fairness in pension systems: A note
• Stability of pension systems when rates of return are random
• The power of suggestion: Inertia in \(401(k)\) participation and savings behavior

Cited in

(10)

• Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
• Bilanzierung und Migration bei sich erneuernden Rentenbeständen
• Indexation of Dutch pension rights in multistage recourse ALM models
• Optimal VIX-linked structure for the target benefit pension plan
• Sustainability of pension systems with voluntary participation
• Collective adjustment of pension rights in ALM models
• Structure of intergenerational risk-sharing plans: optimality and fairness
• Fair transition from defined benefit to target benefit
• Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan
• Target benefit pension plan with longevity risk and intergenerational equity

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