Jørgensen, Peter Løchte - In: The European Journal of Finance 13 (2007) 7, pp. 595-619
This paper analyzes an explicit return smoothing mechanism which has recently been introduced as part of a new type of … pension savings contract that has been offered by Danish life insurers. We establish the payoff function implied by the return … smoothing mechanism and show that its probabilistic properties are accurately approximated by a suitably adapted lognormal …