Pension schemes as options on pension fund assets: implications for pension fund management

DOI10.1016/S0167-6687(98)00048-1zbMath0920.62130OpenAlexW2004541296MaRDI QIDQ1282144

David Blake

Publication date: 28 March 1999

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

Full work available at URL: https://doi.org/10.1016/s0167-6687(98)00048-1

zbMATH Keywords

optionsdurationasset allocationfund managementfunded pension schemesimmunisationpension assets

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (9)

Intergenerational risk sharing in closing pension funds ⋮ Optimal portfolio and background risk: an exact and an approximated solution. ⋮ Levelling the playing field: a VIX-linked structure for funded pension schemes ⋮ Stochastic optimal control of annuity contracts. ⋮ Pension fund investments and the valuation of liabilities under conditional indexation ⋮ Valuation of intergenerational transfers in funded collective pension schemes ⋮ Does surplus/deficit sharing increase risk-taking in a corporate defined benefit pension plan? ⋮ Surplus-linked life insurance ⋮ The DB Underpin Hybrid Pension Plan

Cites Work

• The Pricing of Options and Corporate Liabilities
• A stochastic-dynamic approach to pension funding
• A two-parameter family of pension contribution functions and stochastic optimization
• Theory of constant proportion portfolio insurance
• Dynamic approaches to pension funding
• Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods

This page was built for publication: Pension schemes as options on pension fund assets: implications for pension fund management