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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]
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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

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