The real risk in pension forecasting

DOI10.1080/03461238.2017.1341847MaRDI QIDQ4585946zbMATH OpenOpenAlexFDO

Authors Søren Kærgaard Slipsager

Publication date 11 September 2018

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.2017.1341847

zbMATH Keywords

Monte Carlo simulationpension forecastingstochastic inflation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

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• On the investment strategies in occupational pension plans

Cites work

• A theory of the term structure of interest rates
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• An analysis of a three-factor model proposed by the Danish Society of Actuaries for forecasting and risk analysis
• An equilibrium characterization of the term structure
• Approximated moment-matching dynamics for basket-options pricing
• Arbitrage Theory in Continuous Time
• Forecasting the term structure of government bond yields
• Measuring the stance of monetary policy in zero lower bound environments
• Optimum consumption and portfolio rules in a continuous-time model
• Stochastic Interest Rates and the Bond-Stock Mix
• Term structure models and the zero bound: an empirical investigation of Japanese yields
• The affine arbitrage-free class of Nelson-Siegel term structure models
• The log-normal approximation in financial and other computations
• Time series analysis by state space methods.
• Variance based sensitivity analysis of model output. Design and estimator for the total sensitivity index

Cited in

(3)

• Unhedgeable inflation risk within pension schemes
• An analysis of a three-factor model proposed by the Danish Society of Actuaries for forecasting and risk analysis
• Take (smoothed) risks when you are young, not when you are old: How to get the best from your pension plan

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