Anthropelos, Michail; Blontzou, Evmorfia - In: Risks : open access journal 11 (2023) 6, pp. 1-24
We study the valuation of a pension fund's obligations in a discrete time and space incomplete market model. The market …'s incompleteness stems from the non-replicability of the wage process that finances the pension plan through time. The contingent … defined-benefit liability of the pension fund is a function of the wages, which can be seen as the payoff of a path …