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Partial splitting of longevity and financial risks : the longevity nominal choosing swaptions
Bensusan, Harry; El Karoui, Nicole; Loisel, Stéphane; … - In: Insurance / Mathematics & economics 68 (2016), pp. 73-83
Persistent link: https://www.econbiz.de/10011492465
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Can Pension Funds Hedge Wage Risk?
Fugazza, Carolina - 2009
workers. This raises the question of whether labour income risk can be hedged by how the retirement savings of workers are … income risk at the individual industry level through the investment of industry pension funds …
Persistent link: https://www.econbiz.de/10013159556
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Sharing of longevity basis risk in pension schemes with income-drawdown guarantees
Agarwal, Ankush; Ewald, Christian; Wang, Yongjie - 2020
Persistent link: https://www.econbiz.de/10012661294
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Pension fund risk management : multi-stakeholders, risk management and the embedded options approach
Kocken, Theo - In: Journal of risk management in financial institutions 2 (2008/09) 2, pp. 130-140
Persistent link: https://www.econbiz.de/10003831738
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Real world pricing of long term contracts
Platen, Eckhard - 2009
Persistent link: https://www.econbiz.de/10008662357
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Real-world pricing for a modified constant elasticity of variance model
Miller, Shane M.; Platen, Eckhard - In: Applied mathematical finance 17 (2010) 1/2, pp. 147-175
Persistent link: https://www.econbiz.de/10003975379
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Real world pricing for a modified constant elasticity of variance model
Miller, Shane M.; Platen, Eckhard - 2008
Persistent link: https://www.econbiz.de/10003857174
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A liability tracking approach to long term management of pension funds
Ieda, Masashi; Yamashita, Takashi; Nakano, Yumiharu - In: Journal of mathematical finance 3 (2013) 3, pp. 392-400
Persistent link: https://www.econbiz.de/10010239531
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Optimal variational portfolios with inflation protection strategy and efficient frontier of expected value of wealth for a defined contributory pension scheme
Okoro, Joshua O.; Nkeki, Charles I. - In: Journal of mathematical finance 3 (2013) 4, pp. 476-486
Persistent link: https://www.econbiz.de/10010240789
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An analysis of the hedging approach to modelling pension fund liabilities
Randall, John; Satchell, Stephen - In: Asset and liability management tools, (pp. 65-90). 2003
Persistent link: https://www.econbiz.de/10002169220