Market-Consistent Valuation and Funding of Cash Balance Pensions

DOI10.1080/10920277.2014.906154zbMath1414.91197OpenAlexW2128606905MaRDI QIDQ5379119

David Saunders, Xiaobai Zhu, Mary R. Hardy

Publication date: 28 May 2019

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2014.906154

zbMATH Keywords

cash balance pensionsvaluation and funding

Mathematics Subject Classification ID

Related Items (5)

Valuation of an early exercise defined benefit underpin hybrid pension ⋮ Quantile hedging pension payoffs: an analysis of investment incentives ⋮ DYNAMIC HEDGING STRATEGIES FOR CASH BALANCE PENSION PLANS ⋮ Structure of intergenerational risk-sharing plans: optimality and fairness ⋮ Valuation of a DB underpin hybrid pension under a regime-switching Lévy model

Cites Work

• Unnamed Item
• Interest rate models -- theory and practice. With smile, inflation and credit
• Actuarial Mathematics for Life Contingent Risks
• Guaranteed Annuity Options
• Cash Flow Matching
• The DB Underpin Hybrid Pension Plan
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• Impact of Replacing a Defined Benefit Pension with a Defined Contribution Plan or a Cash Balance Plan

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