Market-consistent valuation and funding of cash balance pensions

DOI10.1080/10920277.2014.906154MaRDI QIDQ5379119zbMATH OpenOpenAlexFDO

Authors David Saunders, Xiaobai Zhu, Mary R. Hardy

Publication date 28 May 2019

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2014.906154

zbMATH Keywords

cash balance pensionsvaluation and funding

Mathematics Subject Classification ID

Recommendations

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Cites work

• Actuarial Mathematics for Life Contingent Risks
• An equilibrium characterization of the term structure
• Cash flow matching: a risk management approach
• Guaranteed Annuity Options
• Impact of Replacing a Defined Benefit Pension with a Defined Contribution Plan or a Cash Balance Plan
• Interest rate models -- theory and practice. With smile, inflation and credit
• Investment guarantees: Modeling and risk management for equity-linked life insurance
• Pricing interest-rate-derivative securities
• The DB underpin hybrid pension plan

Cited in

(12)

• Quantile hedging pension payoffs: an analysis of investment incentives
• Determining equivalent administrative charges for defined contribution pension plans under CEV model
• Valuation of a DB underpin hybrid pension under a regime-switching Lévy model
• Projections of pension fund solvency under alternative valuation regimes
• Valuation of an early exercise defined benefit underpin hybrid pension
• DYNAMIC HEDGING STRATEGIES FOR CASH BALANCE PENSION PLANS
• Structure of intergenerational risk-sharing plans: optimality and fairness
• Barwerte von Renten mit Dynamik
• Valuation of contingent-claims characterising particular pension schemes
• The big thaw: unfreeze defined benefit pension with cash balance plans
• Pension reserves in the valuation of a company according to the pension fund modell
• Valuation of intergenerational transfers in funded collective pension schemes

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