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Immunization strategies for funding multiple inflation-linked retirement income benefits
Simões, Cláudia; Oliveira, Luís; Bravo, Jorge Miguel … - In: Risks : open access journal 9 (2021) 4, pp. 1-28
retirement income providers such as pension schemes or life insurance companies. …
Persistent link: https://www.econbiz.de/10012508594
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The role of longevity-indexed bond in risk management of aggregated defined benefit pension scheme
Zhang, Xiaoyi; Li, Yanan; Guo, Junyi - In: Risks : open access journal 12 (2024) 3, pp. 1-17
Defined benefit (DB) pension plans are a primary type of pension schemes with the sponsor assuming most of the risks. Longevity-indexed bonds have been used to hedge or transfer risks in pension plans. Our objective is to study an aggregated DB pension plan's optimal risk management problem...
Persistent link: https://www.econbiz.de/10014497428
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Risk minimization for insurance products via F-doubly stochastic Markov chains
Biagini, Francesca; Groll, Andreas; Widenmann, Jan … - In: Risks : open access journal 4 (2016) 3, pp. 1-26
We study risk-minimization for a large class of insurance contracts. Given that the individual progress in time of … visiting an insurance policy's states follows an F-doubly stochastic Markov chain, we describe different state-dependent types … of insurance benefits. These cover single payments at maturity, annuity-type payments and payments at the time of a …
Persistent link: https://www.econbiz.de/10011507634
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Actuarial geometry
Mildenhall, Stephen J. - In: Risks : open access journal 5 (2017) 2, pp. 1-44
. The asset modeling framework leads to the proliferation of inappropriate assumptions about the effect of insurance line of … insurance parameter risk. …
Persistent link: https://www.econbiz.de/10011687307
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Can pension funds partially manage longevity risk by investing in a longevity megafund?
Debonneuil, Edouard; Eyraud-Loisel, Anne; Planchet, … - In: Risks : open access journal 6 (2018) 3, pp. 1-27
Pension funds, which manage the financing of a large share of global retirement schemes, need to invest their assets in a diversified manner and over long durations while managing interest rate and longevity risks. In recent years, a new type of investment has emerged, that we call a longevity...
Persistent link: https://www.econbiz.de/10011867481
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Forming a risk management system based on the process approach in the conditions of economic transformation
Sidorova, Elena; Kostyukhin, Yuri; Korshunova, Lyudmila; … - In: Risks : open access journal 10 (2022) 5, pp. 1-15
guarantor of financial insurance. The goal of this study is the formation of a process approach in enterprise management …
Persistent link: https://www.econbiz.de/10013359055
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Financial risk and profitability management in Russian insurance companies in the context of digitalization
Ilkevich, Sergey Viktorovich; Listopad, Ekaterina … - In: Risks : open access journal 10 (2022) 11, pp. 1-12
risks and profitability in Russian insurance companies in the context of digitalization. Structurally, the study consisted … of a comprehensive analysis of the insurance market in the Russian Federation, as well as an identification of the … components of the risk management process of insurance companies in the context of digitalization. Documents containing key …
Persistent link: https://www.econbiz.de/10014228830
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Portability, salary and asset price risk : a continuous-time expected utility comparison of DB and DC pension plans
Chen, An; Uzelac, Filip - In: Risks : open access journal 3 (2015) 1, pp. 77-102
This paper compares two different types of private retirement plans from the perspective of a representative beneficiary: a defined benefit (DB) and a defined contribution (DC) plan. While salary risk is the main common risk factor in DB and DC pension plans, one of the key differences is that...
Persistent link: https://www.econbiz.de/10010509440
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Delivering left-skewed portfolio payoff distributions in the presence of transaction costs
Krawczyk, Jacek B. - In: Risks : open access journal 3 (2015) 3, pp. 318-337
For pension-savers, a low payoff is a financial disaster. Such investors will most likely prefer left-skewed payoff distributions over right-skewed payoff distributions. We explore how such distributions can be delivered. Cautious-relaxed utility measures are cautious in ensuring that payoffs...
Persistent link: https://www.econbiz.de/10011402594
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Effects of gainsharing provisions on the selection of a discount rate for a defined benefit pension plan
Rietz, Robert J.; Cronick, Evan; Mathers, Shelb; … - In: Risks : open access journal 5 (2017) 2, pp. 1-10
This paper examines the effect of gainsharing provisions on the selection of a discount rate for a defined benefit pension plan. The paper uses a traditional actuarial approach of discounting liabilities using the expected return of the associated pension fund. A stochastic Excel model was...
Persistent link: https://www.econbiz.de/10011687299