Designing and pricing guarantee options in defined contribution pension plans

DOI10.1016/j.insmatheco.2015.10.002zbMath1348.91266OpenAlexW3122333460MaRDI QIDQ896773

Andrea Consiglio, Michele Tumminello, Stavros A. Zenios

Publication date: 14 December 2015

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

Full work available at URL: http://hdl.handle.net/10447/149798

zbMATH Keywords

stochastic programmingoption pricingembedded optionsrisk sharingportfolio selectiondefined benefitdefined contributionminimum guarantee

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (5)

A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems ⋮ Lifetime consumption and investment with housing, deferred annuities and home equity release ⋮ A multistage stochastic programming asset-liability management model: an application to the Brazilian pension fund industry ⋮ VALUATION OF CONTINGENT GUARANTEES USING LEAST-SQUARES MONTE CARLO ⋮ Optimal investment for a retirement plan with deferred annuities allowing for inflation and labour income risk

Cites Work

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• Generating Scenario Trees for Multistage Decision Problems
• No-arbitrage conditions, scenario trees, and multi-asset financial optimization
• Reserving for maturity guarantees: Two approaches
• Asset and liability modelling for participating policies with guarantees
• Formulation of the Russell-Yasuda Kasai Financial Planning Model
• A parsimonious model for generating arbitrage-free scenario trees

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