This paper develops a general continuous-time framework for defining optimal corporate pension policy. Interactions between the firm's optimal investment and financing policies and the defined benefit pension plan optimal portfolio strategy are studied. We prove that the three decision rules are...

This paper develops a general continuous-time framework for defining the optimal corporate pension policy for defined benefit (DB) plans in the presence of PBGC insurance. Interactions between the firm's optimal investment and financing policies and the optimal portfolio strategy for DB plans...

The existing replication policies at top finance journals are far weaker than the policies at top economics journals. This paper explores both the costs and benefits of having a stronger replication policy in the context of my failed 2010 initiative to develop a unified policy across all top...

We derive the optimal corporate pension portfolio policy in a consolidated setting in the presence of PBGC insurance. The paper's result formalizes the forces of risk shifting and risk management that shape the form of the corporate pension portfolio. As in Rauh (2009), the risk-shifting and...

A system is implemented that simulates a bond portfolio over the long-term of liabilities. It pays all liabilities and extracts continuously a fixed percentage of remaining liabilities to stakeholders while maintaining a strategic asset allocation. This fixed percentage is proposed as return...

Many institutional investors depend on the returns they generate to fund their operations and liabilities. How do these investors' financial conditions affect the management of their portfolios? We address this issue using the insurance industry because insurers are large investors for which...

Preqin and Pitchbook data are classified and analyzed to derive a coherent set of risk-return assumptions to combine with Listed liquid assets in a traditional mean-variance framework. We find expected returns of 11%-12% for PE and 8% for PD, PC detailed per subclass. Risk is decomposed in Class...

A Liability-Driven Investment (LDI) simulation by a white-box deterministic system, with long-term capital market assumptions of J.P.Morgan and Blackrock as key inputs, pays from asset cashflows the liabilities and the excess extractions that are each month the same fixed percentage of remaining...

We consider a risk sharing problem in which agents pool their random costs together and seek an allocation rule to redistribute the risk back to each agent. The problem is put into a cooperative game framework and we focus on two salient properties of an allocation rule: stability and...

In addition to premiums, investment income is one of the two main sources of capital for property-casualty (P/C) insurance companies. This study investigates short-term equity trading behavior of P/C insurers in the United States in 2007 and 2008, and finds that over 27 percent of non-group...