Pension funds as institutions for intertemporal risk transfer

DOI10.1016/j.insmatheco.2007.12.001zbMath1141.91483OpenAlexW2019311917MaRDI QIDQ931188

Roger T. Baumann, Heinz H. Müller

Publication date: 25 June 2008

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

Full work available at URL: https://www.alexandria.unisg.ch/40138/1/RiskTransfer%2019_07_07.pdf

zbMATH Keywords

portfolio choiceoverlapping generation modeldefined-contribution pension fundintergenerational risk transferpension finance

Mathematics Subject Classification ID

Related Items (4)

Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility ⋮ Target benefit pension plan with longevity risk and intergenerational equity ⋮ Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan ⋮ Pension saving schemes with return smoothing mechanism

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• Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
• Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund

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