Pension fund investments and the valuation of liabilities under conditional indexation

Frank de Jong

Insurance: Mathematics and Economics, 2008, vol. 42, issue 1, 1-13

Abstract: This paper reviews the investment policy of collective pension plans. We focus on funds with a collective Defined Contribution character. We suggest two reasons to invest in equities: the lack of a well-developed market in index-linked bonds, and deliberate deviations from the Defined Benefit nature of the plan. Furthermore, this paper assesses the value of limited or conditional indexation options found in many plans.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:42:y:2008:i:1:p:1-13

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