Inter-temporal optimization and deterministic lifestyle asset allocation strategies for defined-contribution pension plans are investigated and compared both analytically and numerically. The pension plan is assumed to invest in two types of asset, risk free assets and equities, or bonds and equities, and the plan members‟ terminal utility a power function of pension wealth at retirement with t...

Abstract Infrastructure investment is increasingly important for institutional investors. This paper focuses on pension fund allocations to infrastructure, using the CEM Benchmarking database. We document that larger funds, public and funds with a higher allocation other alternative assets are more likely invest in infrastructure. Pension across globe face infrastructure costs comparable, but w...

In this paper, we study the optimal management of an aggregated pension fund defined benefit type by means a differential game with two players, firm and participants. We assume that wealth is greater than actuarial liability then manager builds surplus. order to contemplate sudden changes in financial market, surplus can be invested portfolio bond several risky assets where uncertainty comes f...

We provide a framework in which we link the valuation and asset allocation policies of defined benefits plans with the lifetime marginal productivity schedule of the worker and the pension plan formula. In turn, we examine the retirement policies that are implied by the primitives of the model and the value of pension obligations. Our model provides an explicit valuation formula for a stylized ...

This 1)aper addresses the stochastic modeling for managing asset liability process. We start with developing a jump-diffusion process for evaluating of the liabilities of the insurance company in general. We then tbrnmlate the ALM process into a stochastic control problem. With this approach, we present a Bel|man-Dreyfus Fundamental type formula for ALM process in terms of the solution of a sys...

Traditionally, the potential financial impact of interest rate movements has been evaluated through duration measures or through computer simulations. The duration measure approach is analytical, and focuses on changes in market value; the computer simulation approach is computational and focuses on income statement and balance sheet impacts. In this paper a complementary approach for projectin...

The objective of this paper is to explain the reluctance of pension fund sponsors to terminate overfunded defined benefit pension plans (hereafter, pension plans). The paper extends the “pension put” option-theoretic approach of Sharpe [1976] and Bicksler and Chen [1985] to a “pension call” model to describe a general phenomenon of the unwillingness to terminate overfunded plans by their sponso...