A new defined benefit pension risk measurement methodology
From MaRDI portal
Publication:492658
DOI10.1016/j.insmatheco.2015.03.027zbMath1348.91125OpenAlexW2018343300MaRDI QIDQ492658
Jing Ai, Patrick L. Brockett, Allen F. Jacobson
Publication date: 20 August 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.03.027
longevity riskdefined-benefit pension planeconomic capitalenterprise risk managementpension sponsor risk
Related Items (3)
Longevity risk and capital markets: the 2015--16 update ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update
Cites Work
- Managing contribution and capital market risk in a funded public defined benefit plan: impact of CVaR cost constraints
- On the pricing of longevity-linked securities
- Mortality risk modeling: applications to insurance securitization
- Mean-variance optimization problems for an accumulation phase in a defined benefit plan
- A Poisson log-bilinear regression approach to the construction of projected lifetables.
This page was built for publication: A new defined benefit pension risk measurement methodology
