Structure of intergenerational risk-sharing plans: optimality and fairness
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Publication:4959366
Recommendations
- Fair demographic risk sharing in defined contribution pension systems
- Pension funds as institutions for intertemporal risk transfer
- Optimal investment strategies and intergenerational risk sharing for target benefit pension plans
- Intergenerational risk sharing in closing pension funds
- Valuation of intergenerational transfers in funded collective pension schemes
Cites work
- Controlled diffusion processes on infinite horizon with the overtaking criterion
- Market-consistent valuation and funding of cash balance pensions
- Optimal controls for diffusion in R^ d- a min-max max-min formula for the minimal cost growth rate
- Optimal investment choices post-retirement in a defined contribution pension scheme
- Optimal investment strategies and intergenerational risk sharing for target benefit pension plans
- Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan
- Optimal stochastic control, stochastic target problems, and backward SDE.
- Pension saving schemes with return smoothing mechanism
- Risk-sharing and benefit smoothing in a hybrid pension plan
- Sustainability of participation in collective pension schemes: an option pricing approach
- The DB underpin hybrid pension plan
- Time-average control of martingale problems: the hamilton-jacobi-bellman equation
- Valuation of an early exercise defined benefit underpin hybrid pension
Cited in
(12)- Intergenerational risk sharing in closing pension funds
- Intergenerational redistribution and risk sharing with changing longevity
- Intergenerational risk sharing in a defined contribution pension system: analysis with Bayesian optimization
- Time‐average stochastic control based on a singular local Lévy model for environmental project planning under habit formation
- Intergenerational sharing of unhedgeable inflation risk
- Fair demographic risk sharing in defined contribution pension systems
- Intergenerational risk sharing, pensions, and endogenous labour supply in general equilibrium
- Levelling the playing field: a VIX-linked structure for funded pension schemes
- Pension system design: roles and interdependencies of tax-financed and funded pensions
- Pension funds as institutions for intertemporal risk transfer
- Does surplus/deficit sharing increase risk-taking in a corporate defined benefit pension plan?
- Fair transition from defined benefit to target benefit
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