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The role of inflation-indexed bond in optimal management of defined contribution pension plan during the decumulation phase
Zhang, Xiaoyi; Guo, Junyi - In: Risks : open access journal 6 (2018) 2, pp. 1-16
This paper investigates the optimal investment strategy for a defined contribution (DC) pension plan during the decumulation phase which is risk-averse and pays close attention to inflation risk. The plan aims to maximize the expected constant relative risk aversion (CRRA) utility from the...
Persistent link: https://www.econbiz.de/10011811720
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Measuring and explaining implicit risk sharing in defined benefit pension funds
Bikker, Jacob A.; Knaap, Thijs; Romp, Ward E. - In: Applied economics 46 (2014) 16/18, pp. 1996-2009
Persistent link: https://www.econbiz.de/10010412692
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Intergenerational risk-sharing through funded pensions and public debt
Chen, Damiaan H. J.; Beetsma, Roel; Ponds, Eduard; … - In: Journal of pension economics and finance 15 (2016) 2, pp. 127-159
Persistent link: https://www.econbiz.de/10011566282
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Conditional indexation in defined benefit pension plans
Bikker, Jacob A.; Vlaar, Peter J. G. - 2006
Persistent link: https://www.econbiz.de/10003322371
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The role of index funds in retirement asset allocation
Gallagher, David R. - In: Retirement provision in scary markets, (pp. 55-77). 2007
Persistent link: https://www.econbiz.de/10003461419
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The fair value of pension liabilities : the case of embedded option in scenario analysis
Cocozza, Rosa; Gallo, Angela; Xella, Giuseppe - In: Investment management and financial innovations 7 (2010) 2, pp. 149-158
Persistent link: https://www.econbiz.de/10003991610
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Conditional indexation in defined benefit pension plans in the Netherlands
Bikker, Jacob A.; Vlaar, Peter J. G. - In: The Geneva papers on risk and insurance - issues and … 32 (2007) 4, pp. 494-515
Persistent link: https://www.econbiz.de/10003553748
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What drives pension indexation in turbulent times? : an empirical examination of Dutch pension funds
Broeders, Dirk; Hilbers, Paul L. C.; Rijsbergen, David - 2013
Persistent link: https://www.econbiz.de/10009690854
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What drives pension indexation in turbulent times? : an empirical examination of Dutch pension funds
Broeders, Dirk; Hilbers, Paul L. C.; Rijsbergen, David; … - In: De economist : Netherlands economic review ; quarterly … 162 (2014) 1, pp. 41-70
Persistent link: https://www.econbiz.de/10010393606
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The Fair Value of Pension Liabilities : The Case of Embedded Option in Scenario Analysis
Cocozza, Rosa - 2011
adoption of an indexation policy which is now conditional on the solvability of the fund have been widely adopted. Pension … funds recognizing conditional inflation indexation targets are obliged to pay an additional payoff that is linked to the …. The main objective is to provide a value for the inflation indexation as embedded option. Results derive from a simulation …
Persistent link: https://www.econbiz.de/10013131695