Unhedgeable inflation risk within pension schemes

DOI10.1016/j.insmatheco.2019.10.009zbMath1431.91321OpenAlexW2973122242WikidataQ126866384 ScholiaQ126866384MaRDI QIDQ2292172

D. H. J. Chen, S. J. G. van Wijnbergen, Roel M. W. J. Beetsma

Publication date: 3 February 2020

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.10.009

zbMATH Keywords

incomplete marketsvaluationwelfare losspension contractunhedgeable inflation risk

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Actuarial mathematics (91G05)

Related Items (2)

Optimal DC pension management under inflation risk with jump diffusion price index and cost of living process ⋮ Intergenerational sharing of unhedgeable inflation risk

Cites Work

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• Equity-Indexed Life Insurance: Pricing and Reserving Using the Principle of Equivalent Utility
• Investment Policy for Defined-Contribution Pension Scheme Members Close to Retirement
• Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting

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