A two-account model of pension saving contracts

Mogens Steffensen and Stephan Waldstrøm

Scandinavian Actuarial Journal, 2009, vol. 2009, issue 3, 169-186

Abstract: Saving contracts studied in the literature and available on the pension market share certain characteristics. An overview implies a unified formalization that exposes, at the same time, the common characteristics and the important differences. This article presents such a formalization in terms of two interacting accounts and specifies a series of examples from the literature and the market. We solve the valuation problem by derivation of a partial difference-differential equation and implementation of a numerical finite difference procedure. Illustrations are included.

Date: 2009
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DOI: 10.1080/03461230802090406

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