Hostname: page-component-586b7cd67f-2brh9 Total loading time: 0 Render date: 2024-11-26T12:06:23.266Z Has data issue: false hasContentIssue false
  • English
  • Français

Defined Contribution Based Pension Plans

Published online by Cambridge University Press:  10 May 2011

S. Lindset
S. Lindset
Affiliation:
Trondheim Business School, 7004 Trondheim, Norway., Tel: +47-73-55-99-78, Email: [email protected]
Get access Rights & Permissions [Opens in a new window]

Abstract

In this paper we address the problem of valuing (corporate) pension plans, and in particular defined contribution based pension plans. Several pension plans are proposed, both with and without rate of return guarantees. Both maturity and annual guarantees are considered. Emphasis is also given to the risk management of pension plans.

To tie the analysis closer to real-world problems, we allow for both periodic premium and pension payments and mortality risk to be taken into account. Some new results on forward-start guarantees are also derived.

Keywords

Defined Contribution Based Pension PlansRisk ManagementForward-Start Guarantees
Type
Papers
Information
Annals of Actuarial Science , Volume 1 , Issue 1 , March 2006 , pp. 129 - 164
Copyright
Copyright © Institute and Faculty of Actuaries 2006

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Aase, K.K. (1996). Anvendt sannsynlighetsteori: forsikringsmatematikk. Cappelen Akademisk Forlag, Oslo.Google Scholar
Black, F. & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(3), 637–654.CrossRefGoogle Scholar
Brennan, M.J. & Schwartz, E.S. (1976). The pricing of equity-linked life insurance policies with an asset value guarantee. Journal of Financial Economics, 3(2), 195–213.CrossRefGoogle Scholar
Burtless, G. (2000). How would financial risk affect retirement income under individual accounts? An issue in brief no. 5/00, Center for Retirement Resarch, Boston College.Google Scholar
Grosen, A. & Jørgensen, P.L. (2000). Fair valuation of life insurance liabilities: the impact of interest rate guarantees, surrender options, and bonus policies. Insurance: Mathematics and Economics, 26(1), 37–57.Google Scholar
Hansen, M. & Miltersen, K. (2002). Minimum rate of return guarantees: the Danish case. Scandinavian Actuarial Journal (4), 280–318.CrossRefGoogle Scholar
Lindset, S. (2003). Discontinuous hedging strategies for multi-period guarantees in life insurance. Journal of Risk Finance, 5(1), 51–63.CrossRefGoogle Scholar
Miltersen, K. & Persson, S.-A. (1999). Pricing rate of return guarantees in a Heath-Jarrow-Morton framework. Insurance: Mathematics and Economics, 25(3), 307–326.Google Scholar
Miltersen, K. & Persson, S.-A. (2003). Guaranteed investment contracts: distributed and undistributed excess return. Scandinavian Actuarial Journal (4), 257–279.CrossRefGoogle Scholar
Mossin, J. (1966). Equlibrium in a capital asset market. Econometrica, 34(4), 307–325.CrossRefGoogle Scholar
Pennacchi, G.G. (1999). The value of guarantees on pension fund returns. Journal of Risk and Insurance, 66(2), 219–237.CrossRefGoogle Scholar
Persson, S.-A. & Aase, K. (1994). Pricing of unit linked life insurance policies. Scandinavian Actuarial Journal, 26–52.Google Scholar
Sharpe, W.F. (1964). Capital asset prices: a theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425–442.Google Scholar
Tiong, S. (2000). Valuing equity-linked annuities. North American Actuarial Journal, 4(4), 149–170.CrossRefGoogle Scholar