Pension fund investments and the valuation of liabilities under conditional indexation

DOI10.1016/j.insmatheco.2006.11.004zbMath1141.91559OpenAlexW2109486589MaRDI QIDQ939321

Frank de Jong

Publication date: 22 August 2008

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.11.004

zbMATH Keywords

portfolio choicepension fundsvaluation of liabilities

Mathematics Subject Classification ID

Related Items

Funding and investment decisions in a stochastic defined benefit pension plan with regime switching ⋮ Financial fairness and conditional indexation ⋮ Intergenerational sharing of unhedgeable inflation risk ⋮ Optimal investment-consumption strategy under inflation in a Markovian regime-switching market ⋮ A benchmarking approach to optimal asset allocation for insurers and pension funds ⋮ A utility-based comparison of pension funds and life insurance companies under regulatory constraints ⋮ Unhedgeable inflation risk within pension schemes

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