Equity-linked pension schemes with guarantees

J. Aase Nielsen, Klaus Sandmann and Erik Schlogl

Insurance: Mathematics and Economics, 2011, vol. 49, issue 3, 547-564

Abstract: This paper analyses the relationship between the level of a return guarantee in an equity-linked pension scheme and the proportion of an investor’s contribution needed to finance this guarantee. Three types of schemes are considered: investment guarantee, contribution guarantee and surplus participation. The evaluation of each scheme involves pricing an Asian option, for which relatively tight upper and lower bounds can be calculated in a numerically efficient manner.

Keywords: Pension funds; Forward risk adjusted measure; Asian option (search for similar items in EconPapers)
JEL-codes: G13 G23 (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S016766871100093X
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Equity-Linked Pension Schemes with Guarantees (2010)
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:eee:insuma:v:49:y:2011:i:3:p:547-564

DOI: 10.1016/j.insmatheco.2011.08.012

Access Statistics for this article

Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

More articles in Insurance: Mathematics and Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().