Sustainability of participation in collective pension schemes: an option pricing approach
DOI10.1016/J.INSMATHECO.2017.03.007zbMATH Open1394.91199OpenAlexW3121425935MaRDI QIDQ2397865FDOQ2397865
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
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contributionsustainabilityoptionleast squares Monte Carlo methodexplicit finite difference methodcollective defined-contribution and hybrid pension fundsdefined-benefitparticipation decision
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
- A general version of the fundamental theorem of asset pricing
- The power of suggestion: Inertia in \(401(k)\) participation and savings behavior
- Stability of pension systems when rates of return are random
- Optimal actuarial fairness in pension systems: A note
- If we can simulate it, we can insure it: an application to longevity risk management
Cited In (10)
- Structure of intergenerational risk-sharing plans: optimality and fairness
- Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
- Collective adjustment of pension rights in ALM models
- Bilanzierung und Migration bei sich erneuernden Rentenbeständen
- Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan
- FAIR TRANSITION FROM DEFINED BENEFIT TO TARGET BENEFIT
- Target benefit pension plan with longevity risk and intergenerational equity
- Optimal VIX-linked structure for the target benefit pension plan
- Sustainability of pension systems with voluntary participation
- Indexation of Dutch pension rights in multistage recourse ALM models
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