Structure of intergenerational risk-sharing plans: optimality and fairness
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Publication:4959366
DOI10.1080/03461238.2020.1862291zbMATH Open1471.91493OpenAlexW3114437800MaRDI QIDQ4959366FDOQ4959366
Authors: Xiaobai Zhu, David Saunders, Mary R. Hardy 
Publication date: 13 September 2021
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2020.1862291
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
controlergodic controlpensionsintergenerational risk sharingdefined ambitionintergenerational equality
Cites Work
- Optimal stochastic control, stochastic target problems, and backward SDE.
- Optimal investment choices post-retirement in a defined contribution pension scheme
- Controlled diffusion processes on infinite horizon with the overtaking criterion
- Sustainability of participation in collective pension schemes: an option pricing approach
- Valuation of an early exercise defined benefit underpin hybrid pension
- Optimal controls for diffusion in \(R^ d\)- a min-max max-min formula for the minimal cost growth rate
- Market-Consistent Valuation and Funding of Cash Balance Pensions
- Optimal investment strategies and intergenerational risk sharing for target benefit pension plans
- Pension saving schemes with return smoothing mechanism
- Time-average control of martingale problems: the hamilton-jacobi-bellman equation
- Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan
- Risk-Sharing and Benefit Smoothing in A Hybrid Pension Plan
- The DB Underpin Hybrid Pension Plan
Cited In (6)
- Time‐average stochastic control based on a singular local Lévy model for environmental project planning under habit formation
- Intergenerational redistribution and risk sharing with changing longevity
- Intergenerational sharing of unhedgeable inflation risk
- FAIR TRANSITION FROM DEFINED BENEFIT TO TARGET BENEFIT
- Pension system design: roles and interdependencies of tax-financed and funded pensions
- Pension funds as institutions for intertemporal risk transfer
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