The financial crisis of the beginning of the millennium and the recent crisis have led many pension funds to adopt different management approach to overcome the arising difficulties to maintain a solid financial status. Among these, the adoption of an indexation policy which is now conditional...

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...