This paper proposes a model for a defined benefit pension plan to minimize total funding variation while controlling expected total pension cost and funding downside risk throughout the life of a pension cohort. With this setup, we first investigate the plan's optimal contribution and asset...

Given the rising cost of maintaining defined benefit (DB) pensions, there has been a surge of activities in recent years by DB plan sponsors to transfer their pension risk through strategies such as buy-ins and buy-outs. As buy-in and buy-out transaction pipelines grow, insurers actively...

The purpose of this article is to study mortality-based securities, such as mortality bonds and swaps, and to price the proposed mortality securities. We focus on individual annuity data, although some of the modeling techniques could be applied to other lines of annuity or life insurance