Benefit uncertainty and default risk in pension plans

DOI10.1016/J.INSMATHECO.2005.04.007MaRDI QIDQ817282zbMATH OpenOpenAlexFDO

Authors Zaki Khorasanee

Publication date 8 March 2006

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2005.04.007

zbMATH Keywords

default riskoverlapping generationsdefined-benefit planhybrid planmean-variance efficient

Mathematics Subject Classification ID

Recommendations

• Risk-sharing and benefit smoothing in a hybrid pension plan
• Pension funds as institutions for intertemporal risk transfer
• On the control of defined-benefit pension plans
• A risk-based model for the valuation of pension insurance
• Pension Fund Dynamics and Gains/Losses Due to Random Rates of Investment Return

Cites work

• scientific article; zbMATH DE number 2101238 (Why is no real title available?)
• Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme
• Efficient Gain and Loss Amortization and Optimal Funding in Pension Plans
• Pension Fund Dynamics and Gains/Losses Due to Random Rates of Investment Return
• Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
• Stochastic pension fund modelling

Cited in

(15)

• Solvency analysis of defined benefit pension schemes
• A new defined benefit pension risk measurement methodology
• Pension scheme redesign and wealth redistribution between the members and sponsor: the USS rule change in October 2011
• Pension funds as institutions for intertemporal risk transfer
• An actuarial balance sheet model for defined benefit pay-as-you-go pension systems with disability and retirement contingencies
• Between DB and DC: optimal hybrid PAYG pension schemes
• Valuation of risk-based premium of DB pension plan with terminations
• Risk-sharing and benefit smoothing in a hybrid pension plan
• Accounting/Actuarial Bias Enables Equity Investment By Defined Benefit Pension Plans
• Unhedgeable inflation risk within pension schemes
• Pension plan funding, technology choice, and the equity risk premium
• scientific article; zbMATH DE number 2062329 (Why is no real title available?)
• A risk-based premium: what does it nean for DB plan sponsors?
• Fair transition from defined benefit to target benefit
• Target benefit pension plan with longevity risk and intergenerational equity

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