Designing and pricing guarantee options in defined contribution pension plans
DOI10.1016/J.INSMATHECO.2015.10.002zbMATH Open1348.91266OpenAlexW3122333460MaRDI QIDQ896773FDOQ896773
Andrea Consiglio, Michele Tumminello, Stavros A. Zenios
Publication date: 14 December 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10447/149798
Recommendations
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option pricingportfolio selectionstochastic programmingrisk sharingdefined benefitdefined contributionminimum guaranteeembedded options
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of mathematical programming (90C90) Portfolio theory (91G10)
Cites Work
- Reserving for maturity guarantees: Two approaches
- Generating Scenario Trees for Multistage Decision Problems
- No-arbitrage conditions, scenario trees, and multi-asset financial optimization
- Title not available (Why is that?)
- Formulation of the Russell-Yasuda Kasai financial planning model
- Asset and liability modelling for participating policies with guarantees
- A parsimonious model for generating arbitrage-free scenario trees
Cited In (8)
- VALUATION OF CONTINGENT GUARANTEES USING LEAST-SQUARES MONTE CARLO
- Regret, portfolio choice, and guarantees in defined contribution schemes
- A multistage stochastic programming asset-liability management model: an application to the Brazilian pension fund industry
- A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems
- Sustainability of participation in collective pension schemes: an option pricing approach
- Optimal investment for a retirement plan with deferred annuities allowing for inflation and labour income risk
- The Shift to Defined Contribution Pension Plans
- Lifetime consumption and investment with housing, deferred annuities and home equity release
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