Sustainability of participation in collective pension schemes: an option pricing approach
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Publication:2397865
DOI10.1016/j.insmatheco.2017.03.007zbMath1394.91199MaRDI QIDQ2397865
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
contribution; option; sustainability; least squares Monte Carlo method; explicit finite difference method; collective defined-contribution and hybrid pension funds; defined-benefit; participation decision
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
Structure of intergenerational risk-sharing plans: optimality and fairness, FAIR TRANSITION FROM DEFINED BENEFIT TO TARGET BENEFIT, Target benefit pension plan with longevity risk and intergenerational equity, Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan, Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
Cites Work
- Stability of pension systems when rates of return are random
- A general version of the fundamental theorem of asset pricing
- Optimal actuarial fairness in pension systems: A note
- If we can simulate it, we can insure it: an application to longevity risk management
- The Power of Suggestion: Inertia in 401(k) Participation and Savings Behavior
