Add to ORKGThe aim of the paper is to deal with the solvency requirements for Defined Contributions Pension funds. The probability of underfunding is investigated in a stochastic framework by means of the funding ratio, which is the ratio of the market value of the assets to the market value of the liabilities. Demographic and investment risks are modelled by means of diffusion processes. Their impact on the total riskiness of the fund is analyzed via a quantile approach
We consider a continuous time dynamic pension funding model in a defined benefit plan of an employme...
Risk measurement as applicable for insurers (Solvency 2) or banks (Basel 2) can also be considered f...
Public pension funds that cover retirement benefits for almost 20 million active or retired employee...
The book “Pension Fund Management in a Stochastic Optimization Framework” addresses problems regardi...
Risk measurement as applicable for insurers (Solvency 2) or banks (Basel 2)can also be consid- ered ...
Quantitative finance has become these last years a extraordinary field of research and interest as w...
The aim of our contribution is to develop a technique for rebalancing pension fund portfolios in fun...
One of the major problems faced in the management of pension funds and plan is how to allocate and c...
We consider a dynamic model of pension funding in a defined benefit plan of an employment system. Th...
This paper analyses the role of the term structure of interest and mortality rates for Defined Cont...
In this thesis a modeling framework to aid Icelandic pension funds in their asset allocation decisio...
The aim of the paper is to develop a technique for rebalancing pension fund portfolios in function o...
Purpose –The demographic risk is the risk due to the uncertainty in the demographic scenario assump...
This paper examines the problem of investment risk in money purchase pension plans. The disadvantage...
We consider a second pillar pension fund problem relying on a multi-stage stochastic asset-liability...
We consider a continuous time dynamic pension funding model in a defined benefit plan of an employme...
Risk measurement as applicable for insurers (Solvency 2) or banks (Basel 2) can also be considered f...
Public pension funds that cover retirement benefits for almost 20 million active or retired employee...
The book “Pension Fund Management in a Stochastic Optimization Framework” addresses problems regardi...
Risk measurement as applicable for insurers (Solvency 2) or banks (Basel 2)can also be consid- ered ...
Quantitative finance has become these last years a extraordinary field of research and interest as w...
The aim of our contribution is to develop a technique for rebalancing pension fund portfolios in fun...
One of the major problems faced in the management of pension funds and plan is how to allocate and c...
We consider a dynamic model of pension funding in a defined benefit plan of an employment system. Th...
This paper analyses the role of the term structure of interest and mortality rates for Defined Cont...
In this thesis a modeling framework to aid Icelandic pension funds in their asset allocation decisio...
The aim of the paper is to develop a technique for rebalancing pension fund portfolios in function o...
Purpose –The demographic risk is the risk due to the uncertainty in the demographic scenario assump...
This paper examines the problem of investment risk in money purchase pension plans. The disadvantage...
We consider a second pillar pension fund problem relying on a multi-stage stochastic asset-liability...
We consider a continuous time dynamic pension funding model in a defined benefit plan of an employme...
Risk measurement as applicable for insurers (Solvency 2) or banks (Basel 2) can also be considered f...
Public pension funds that cover retirement benefits for almost 20 million active or retired employee...