Intergenerational sharing of unhedgeable inflation risk

DOI10.1016/J.INSMATHECO.2023.08.004MaRDI QIDQ6152690zbMATH OpenOpenAlexFDO

Authors D. H. J. Chen, Roel M. W. J. Beetsma, Sweder van Wijnbergen

Publication date 13 February 2024

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1016/j.insmatheco.2023.08.004

zbMATH Keywords

incomplete marketsintergenerational risk-sharingpension fundsunhedgeable inflation riskwelfare loss

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

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Cites work

• Equity-Indexed Life Insurance: Pricing and Reserving Using the Principle of Equivalent Utility
• Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting
• International Risk Sharing and the Transmission of Productivity Shocks
• Investment Policy for Defined-Contribution Pension Scheme Members Close to Retirement
• Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model
• Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan
• Pension fund investments and the valuation of liabilities under conditional indexation
• Relative risk aversion: what do we know?
• Structure of intergenerational risk-sharing plans: optimality and fairness
• Sustainability of pension systems with voluntary participation
• The method of endogenous gridpoints for solving dynamic stochastic optimization problems
• The pricing of liabilities in an incomplete market using dynamic mean-variance hedging
• Unhedgeable inflation risk within pension schemes
• Valuation and hedging of participating life-insurance policies under management discretion
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION

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