Optimal investment decisions with a liability: The case of defined benefit pension plans
نویسندگان
چکیده
منابع مشابه
Optimal Investment Policies for Defined Benefit Pension Funds
This paper analyzes optimal investment policies for pension funds of a defined benefit (DB) type. The nature of a DB fund induces a natural modeling of preferences being of the mean-downside risk type. With compensation for inflation as an explicit goal of a pension fund, a natural reference point for the risk measure is the future (indexed) value of the liabilities. Results are presented for d...
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As a consequence, individuals‟ retirement planning requirements have become significantly more complex. In an ideal world, members of DC schemes would have access to individual investment advice to allow them to construct a plan to help manage these risks. In practice it has not yet been possible to supply full, individually tailored advice to all DC members on an affordable basis. Instead what...
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ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2006
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2006.01.005