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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
beneficiary: a defined benefit (DB) and a defined contribution (DC) plan. While salary risk is the main common risk factor in DB … price risk. We model these tradeoffs explicitly in this paper and compare these two plans in a utility-based framework. Our … of risk aversion, which is inconsistent with the existing literature. …
Persistent link: https://www.econbiz.de/10010509440
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Variable annuities and aggregate mortality risk
Weale, Martin; Van de Ven, Justin - In: National Institute economic review 237 (2016), pp. 55-61
Persistent link: https://www.econbiz.de/10011694221
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Asset Pricing and Risk Sharing Implications of Alternative Pension Plan Systems
Coimbra, Nuno; Gomes, Francisco; Michaelides, Alexander; … - 2023
ability to jointly match the historical equity premium and riskless rate, and has important implications for risk sharing. We … risk channel arising from fluctuations in the fund's endowment. We use our calibrated model to study the implications of a …
Persistent link: https://www.econbiz.de/10014351210
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Asset pricing and risk sharing implications of alternative pension plan systems
Coimbra, Nuno; Gomes, Francisco J.; Michaelides, … - 2024
Persistent link: https://www.econbiz.de/10015065840
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Stock investments for old-age : less return, more risk, and unexpected timing
Ulbricht, Dirk - 2013
exists differ substantially. This article compares risk and returns for regular and lump-sum investors for all possible … risk of negative returns disappears for horizons that are six years shorter. Increasing contributions deteriorate risk and …
Persistent link: https://www.econbiz.de/10010189923
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Essays on asset pricing, consumption and wealth
Li, Qi - 2004
Persistent link: https://www.econbiz.de/10003549635
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Age distributions and returns of financial assets
Yoo, Peter S. - 1994
Persistent link: https://www.econbiz.de/10000901458
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Demographic changes and asset prices in an overlappig generations model
Simo-Kengne, Beatrice D.; Riedel, Frank; … - 2022 - This version: December 15, 2022
We examine the effect of demographic shifts on asset prices in an overlapping generations model with endogenous population dynamics. We establish a robust inverse relationship between returns and the old dependency ratio. We document the absence of a simple monotonic relationship between asset...
Persistent link: https://www.econbiz.de/10013466466
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Portability vs Asset Price and Contribution Risk : A Continuous-Time Expected Utility Comparisons of DB and DC Pension Plans
Chen, An - 2013
portability risks, whereas DC plans bear asset and contribution risk. We model these diff erences explicitly in this paper and …
Persistent link: https://www.econbiz.de/10013089892
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Portfolio choice with illiquid asset for a loss-averse pension fund investor
Chen, Zheng; Li, Zhongfei; Zeng, Yan - In: Insurance / Mathematics & economics 108 (2023), pp. 60-83
Persistent link: https://www.econbiz.de/10013534511