Many pension funds and life insurers seek to hedge their exposure to low interest rates using long-dated interest rate derivatives. This paper extends an approach of Platen and Heath 2006 to price and hedge long-dated interest rate derivatives using a combination of Australian cash, bonds and...

Using recovery plan data of 213 underfunded Dutch pension funds for the years 2011, 2012 and 2013, discrete choice models are estimated describing pension funds' choices between three recovery measures: higher contributions, no indexation, and pension cuts. The estimation results suggest,...

The aim of this contribution is to study the sustainability of a pay-as-you-go pension fund, through the analysis of demographic risk affecting these types of pension funds. A model for the evolution of the fund is presented considering the stochastic variables global asset return and new...

This paper reports the results of a behavioural finance experiment on the ability of Thai individuals to make informed investment decisions under a defined contribution self-management option. Using an asset allocation dataset from members of the Thai Government Pension Fund (TGPF) and a control...

Although significant amounts of research and public policy have been directed toward financial literacy in recent years, not nearly as much attention has been placed on the type of information needed by the nearly 10,000 baby boomers reaching age 65 each day until 2030. As this group faces...

This paper discusses mandatory participation in Dutch occupational pension schemes. While historically mandatory participation is a feature of most second-pillar pension arrangements, some recent developments may affect the case for mandatory participation. The main ones are the revision of the...

The study outlines fees and investment returns for state pension funds. The study concludes that states with the highest fees, as a percent of assets, had the lowest returns. The study shows a passive index mimicking state fund asset allocations provides higher returns. Private equity funds and...

Using a sample of 256 pension funds from Australia, Canada, the United States and Europe for the period 2004 to 2012, we use data envelopment, cluster and multivariate analysis to compare performance. We find high efficiency scores for many smaller corporate funds and lower efficiency scores for...

This paper uses a cohort microsimulation model to analyse intragenerational distributional effects of a shift from a defined benefit pay‐as‐you‐go pension system that includes flat rate component and length of pensionable service component to a pension system with contribution based...