Designing and pricing guarantee options in defined contribution pension plans

DOI10.1016/J.INSMATHECO.2015.10.002MaRDI QIDQ896773zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

option pricingportfolio selectionstochastic programmingrisk sharingdefined benefitdefined contributionminimum guaranteeembedded options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of mathematical programming (90C90) Portfolio theory (91G10)

Recommendations

• Optimal design of the guarantee for defined contribution funds
• Valuation of the interest rate guarantee embedded in defined contribution pension plans
• Guarantee valuation in notional defined contribution pension systems
• Between DB and DC: optimal hybrid PAYG pension schemes
• Constant proportion portfolio insurance in defined contribution pension plan management

Cites work

• A parsimonious model for generating arbitrage-free scenario trees
• Asset and liability modelling for participating policies with guarantees
• Formulation of the Russell-Yasuda Kasai financial planning model
• Generating scenario trees for multistage decision problems
• No-arbitrage conditions, scenario trees, and multi-asset financial optimization
• Practical financial optimization. Decision making for financial engineers. Foreword by Harry M. Markowitz
• Reserving for maturity guarantees: Two approaches

Cited in

(12)

• Guarantee valuation in notional defined contribution pension systems
• The DB underpin hybrid pension plan
• Optimal design of the guarantee for defined contribution funds
• Sustainability of participation in collective pension schemes: an option pricing approach
• Valuation of an early exercise defined benefit underpin hybrid pension
• Lifetime consumption and investment with housing, deferred annuities and home equity release
• Valuation of contingent guarantees using least-squares Monte Carlo
• Regret, portfolio choice, and guarantees in defined contribution schemes
• Optimal investment for a retirement plan with deferred annuities allowing for inflation and labour income risk
• 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
• The Shift to Defined Contribution Pension Plans

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