A new defined benefit pension risk measurement methodology

DOI10.1016/J.INSMATHECO.2015.03.027MaRDI QIDQ492658zbMATH OpenOpenAlexFDO

Authors Jing Ai, Patrick L. Brockett, Allen F. Jacobson

Publication date 20 August 2015

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

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1016/j.insmatheco.2015.03.027

zbMATH Keywords

defined-benefit pension planeconomic capitalenterprise risk managementlongevity riskpension sponsor risk

Mathematics Subject Classification ID

Recommendations

• A risk-based model for the valuation of pension insurance
• A risk-based premium: what does it nean for DB plan sponsors?
• Solvency analysis of defined benefit pension schemes
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• De-risking defined benefit plans

Cites work

• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• Managing contribution and capital market risk in a funded public defined benefit plan: impact of CVaR cost constraints
• Mean-variance optimization problems for an accumulation phase in a defined benefit plan
• Mortality risk modeling: applications to insurance securitization
• On the pricing of longevity-linked securities

Cited in

(8)

• Longevity risk and capital markets: the 2015--16 update
• A risk-based premium: what does it nean for DB plan sponsors?
• Longevity risk and capital markets: the 2019--20 update
• Valuation of risk-based premium of DB pension plan with terminations
• Solvency analysis of defined benefit pension schemes
• Quantifying mortality risk in small defined-benefit pension schemes
• Longevity Risk and Capital Markets: The 2017–2018 Update
• A risk-based model for the valuation of pension insurance

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