Valuation of intergenerational transfers in funded collective pension schemes

DOI10.1016/J.INSMATHECO.2007.06.007zbMath1152.91587OpenAlexW3123331970MaRDI QIDQ998272

Roy P. M. M. Hoevenaars, Eduard H. M. Ponds

Publication date: 28 January 2009

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.06.007

zbMATH Keywords

public financeembedded optionsintergenerational risk sharingsocial security reformfunded defined-benefit plansgenerational accountingvalue-based ALM

Mathematics Subject Classification ID

Related Items (14)

Pension scheme redesign and wealth redistribution between the members and sponsor: the USS rule change in October 2011 ⋮ Intergenerational risk sharing in closing pension funds ⋮ Equity-linked life insurance based on traditional products: the case of select products ⋮ Optimal assets allocation and benefit adjustment strategy with longevity risk for target benefit pension plans ⋮ A new approach for satisfactory pensions with no guarantees ⋮ Levelling the playing field: a VIX-linked structure for funded pension schemes ⋮ Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan ⋮ Pension saving schemes with return smoothing mechanism ⋮ Optimal contribution rate of PAYGO pension ⋮ Generational transfers within the occupational pension system in Switzerland ⋮ Valuation of a DB underpin hybrid pension under a regime-switching Lévy model ⋮ Performance measurement of pension strategies: a case study of Danish life cycle products ⋮ FAIR TRANSITION FROM DEFINED BENEFIT TO TARGET BENEFIT ⋮ Performance measurement of pension strategies: a case study of Danish life-cycle products

Cites Work

• Strategic asset allocation with liabilities: beyond stocks and bonds
• A hybrid simulation/optimisation scenario model for asset/liability management
• Pension schemes as options on pension fund assets: implications for pension fund management
• Return smoothing mechanisms in life and pension insurance: path-dependent contingent claims

This page was built for publication: Valuation of intergenerational transfers in funded collective pension schemes