Risk measurement and management of defined benefit pension schemes: a stochastic approach

DOI10.1093/IMAMAN/14.2.111zbMath1106.91338OpenAlexW1999763536MaRDI QIDQ4810715

M. Zaki Khorasanee, Steven Haberman, Bernard Ngwira, I. D. Wright

Publication date: 16 August 2004

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/14.2.111

zbMATH Keywords

decision-making under uncertaintystochastic simulationrisk measurementDefined benefit pension scheme

Mathematics Subject Classification ID

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Optimal assets allocation and benefit adjustment strategy with longevity risk for target benefit pension plans ⋮ Managing contribution and capital market risk in a funded public defined benefit plan: impact of CVaR cost constraints

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