In this paper we derive an analytic valuation formula for a generalized form of liabilities in hybrid pension plans taking account of both equity and interest rate risk. Comparative statistics are carried out to show the relevance of some key parameters in defining the hybrid pension plans,...

Contemporary pension plans are often a mixture of defined benefit and defined contribution plans. This paper explores the valuation of a generalized form of liabilities in hybrid pension plans taking account of both equity and interest rate risk. We derive an analytic valuation formula for the...

We introduce and analyze a novel collective defined contribution plan (CDC) which guarantees upon retirement at least a target benefit as a lump sum. The guarantee is provided by the remaining working generations under a pre-determined linear intergenerational risk sharing (IRS) rule. Through a...

We introduce and analyze a novel collective defined contribution plan (CDC) which guarantees upon retirement at least a target benefit as a lump sum. The guarantee is provided by the remaining working generations under a pre-determined linear intergenerational risk sharing (IRS) rule.Through a...