Fair demographic risk sharing in defined contribution pension systems
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Recommendations
- Pension funds as institutions for intertemporal risk transfer
- Structure of intergenerational risk-sharing plans: optimality and fairness
- The optimal rate of return for defined contribution pension systems in a stochastic framework
- Risk-sharing and benefit smoothing in a hybrid pension plan
- Optimal design of the guarantee for defined contribution funds
Cites work
- scientific article; zbMATH DE number 3281211 (Why is no real title available?)
- Annuitization and asset allocation
- Applied mathematical demography
- Cyclical risk exposure of pension funds: a theoretical framework
- MUTUAL FUND PORTFOLIO CHOICE IN THE PRESENCE OF DYNAMIC FLOWS
- Modeling and forecasting U.S. mortality. (With discussion)
- Mortality derivatives and the option to annuitise.
- Optimal consumption-portfolio choices and retirement planning
- Optimal contributions in a defined benefit pension scheme with stochastic new entrants
- Optimal design of the guarantee for defined contribution funds
- Optimal pension funding dynamics over infinite control horizon when stochastic rates of return are stationary
- Optimization of consumption with labor income
- Parametric pension reform with higher retirement ages: A computational investigation of alternatives for a pay-as-you-go-based pension system
- Pension Fund Dynamics and Gains/Losses Due to Random Rates of Investment Return
- Pension funds with a minimum guarantee: a stochastic control approach
- Population ageing and pension reform in a small open economy with non-traded goods
- Retirement saving with contribution payments and labor income as a benchmark for investments
- Second order parabolic Hamilton-Jacobi-Bellman equations in Hilbert spaces and stochastic control: \(L^{2}_{\mu}\) approach
- Social security reform and intertemporal smoothing
- Stochastic investment returns and contribution rate risk in a defined benefit pension scheme
- Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
- Stochastic pension fund modelling
- The Calculus of Retirement Income
Cited in
(20)- Viscosity solutions to second order elliptic Hamilton-Jacobi-Bellman equations with infinite delay
- Time-consistent pension policy with minimum guarantee and sustainability constraint
- Pension scheme redesign and wealth redistribution between the members and sponsor: the USS rule change in October 2011
- Pension funds as institutions for intertemporal risk transfer
- Optimal design of the guarantee for defined contribution funds
- A stochastic control problem with delay arising in a pension fund model
- Long guarantees with short duration: the rolling annuity
- Optimal design of pension funds: a mission impossible?
- The private value of public pensions
- Between DB and DC: optimal hybrid PAYG pension schemes
- Structure of intergenerational risk-sharing plans: optimality and fairness
- Optimal design of pension rule with flexible retirement: The two-type case
- Transforming public pensions: a mixed scheme with a credit granted by the state
- Fair retirement under risky lifetime
- How suboptimal are linear sharing rules?
- Replicating intergenerational longevity risk sharing in collective defined contribution pension plans using financial markets
- A class of infinite-horizon stochastic delay optimal control problems and a viscosity solution to the associated HJB equation
- 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
- Controlling a demographic wave in defined contribution pension systems
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