Defined Contribution Based Pension Plans

Snorre Lindset

Annals of Actuarial Science, 2006, vol. 1, issue 1, 129-164

Abstract: In this paper we address the problem of valuing (corporate) pension plans, and in particular defined contribution based pension plans. Several pension plans are proposed, both with and without rate of return guarantees. Both maturity and annual guarantees are considered. Emphasis is also given to the risk management of pension plans. To tie the analysis closer to real-world problems, we allow for both periodic premium and pension payments and mortality risk to be taken into account. Some new results on forward-start guarantees are also derived.

Date: 2006
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:anacsi:v:1:y:2006:i:01:p:129-164_00

Access Statistics for this article

More articles in Annals of Actuarial Science from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().