Managing contribution and capital market risk in a funded public defined benefit plan: impact of CVaR cost constraints
From MaRDI portal
Publication:659088
DOI10.1016/J.INSMATHECO.2009.02.007zbMath1231.91216OpenAlexW3126015603MaRDI QIDQ659088
Ralph Rogalla, Olivia S. Mitchell, Raimond H. Maurer
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://repository.upenn.edu/prc_papers/300
Related Items (4)
Pension risk management with funding and buyout options ⋮ A new defined benefit pension risk measurement methodology ⋮ De-risking defined benefit plans ⋮ Downside Risk Management of a Defined Benefit Plan Considering Longevity Basis Risk
Cites Work
- Strategic asset allocation with liabilities: beyond stocks and bonds
- Stochastic pension fund control in the presence of Poisson jumps
- Management of a pension fund under mortality and financial risks
- Stochastic investment returns and contribution rate risk in a defined benefit pension scheme
- Pension funding incorporating downside risks.
- Dynamic approaches to pension funding
- Optimal pension funding dynamics over infinite control horizon when stochastic rates of return are stationary
- Optimal investment decisions with a liability: the case of defined benefit pension plans
- Dynamic asset liability management with tolerance for limited shortfalls
- Coherent Measures of Risk
- Risk measurement and management of defined benefit pension schemes: a stochastic approach
- Efficient Gain and Loss Amortization and Optimal Funding in Pension Plans
- Pension Fund Dynamics and Gains/Losses Due to Random Rates of Investment Return
- Contribution and solvency risk in a defined benefit pension scheme
This page was built for publication: Managing contribution and capital market risk in a funded public defined benefit plan: impact of CVaR cost constraints
