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Pension schemes as options on pension fund assets: implications for pension fund management

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  • Blake, David

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Bibliographic Info

Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

Volume (Year): 23 (1998)
Issue (Month): 3 (December)
Pages: 263-286

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Handle: RePEc:eee:insuma:v:23:y:1998:i:3:p:263-286

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Web page: http://www.elsevier.com/locate/inca/505554

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References

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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  1. Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-57, August.
  2. Disney, Richard & Whitehouse, Edward, 1996. "What Are Occupational Pension Plan Entitlements Worth in Britain?," Economica, London School of Economics and Political Science, vol. 63(250), pages 213-38, May.
  3. Hayne E. Leland., 1979. "Who Should Buy Portfolio Insurance?," Research Program in Finance Working Papers 95, University of California at Berkeley.
  4. Brennan, M J, 1979. "The Pricing of Contingent Claims in Discrete Time Models," Journal of Finance, American Finance Association, vol. 34(1), pages 53-68, March.
  5. Black, Fischer & Perold, AndreF., 1992. "Theory of constant proportion portfolio insurance," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 403-426.
  6. Margrabe, William, 1978. "The Value of an Option to Exchange One Asset for Another," Journal of Finance, American Finance Association, vol. 33(1), pages 177-86, March.
  7. Haberman, Steven & Sung, Joo-Ho, 1994. "Dynamic approaches to pension funding," Insurance: Mathematics and Economics, Elsevier, vol. 15(2-3), pages 151-162, December.
  8. Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," The Journal of Business, University of Chicago Press, vol. 51(4), pages 621-51, October.
  9. Tepper, Irwin, 1981. "Taxation and Corporate Pension Policy," Journal of Finance, American Finance Association, vol. 36(1), pages 1-13, March.
  10. Robert van der Meer & Meye Smink, 1993. "Strategies and Techniques for Asset-Liability Management: an Overview," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan, vol. 18(2), pages 144-157, April.
  11. Gatto, Mary Ann & Geske, Robert & Litzenberger, Robert & Sosin, Howard, 1980. "Mutual fund insurance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 283-317, September.
  12. Boquist, John A & Racette, George A & Schlarbaum, Gary G, 1975. "Duration and Risk Assessment for Bonds and Common Stocks," Journal of Finance, American Finance Association, vol. 30(5), pages 1360-65, December.
  13. Merton, Robert C. & Samuelson, Paul A., 1974. "Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods," Journal of Financial Economics, Elsevier, vol. 1(1), pages 67-94, May.
  14. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  15. Irwin Tepper, 1981. "Taxation and Corporate Pension Policy," NBER Working Papers 0661, National Bureau of Economic Research, Inc.
  16. O'Brien, Thomas, 1986. "A stochastic-dynamic approach to pension funding," Insurance: Mathematics and Economics, Elsevier, vol. 5(2), pages 141-146, April.
  17. Brennan, M.J. & Solanki, R., 1981. "Optimal Portfolio Insurance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 16(03), pages 279-300, September.
  18. Fischer, Stanley, 1978. "Call Option Pricing when the Exercise Price Is Uncertain, and the Valuation of Index Bonds," Journal of Finance, American Finance Association, vol. 33(1), pages 169-76, March.
  19. Sharpe, William F., 1976. "Corporate pension funding policy," Journal of Financial Economics, Elsevier, vol. 3(3), pages 183-193, June.
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Citations

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Cited by:
  1. Lijian Wang & Daniel Béland, 2014. "Assessing the Financial Sustainability of China’s Rural Pension System," Sustainability, MDPI, Open Access Journal, vol. 6(6), pages 3271-3290, May.
  2. David Blake, 2003. "The United Kingdom pension system: key issues," LSE Research Online Documents on Economics 24851, London School of Economics and Political Science, LSE Library.
  3. Dirk Broeders, 2006. "Valuation of Conditional Pension Liabilities and Guarantees under Sponsor Vulnerabilities," DNB Working Papers 082, Netherlands Central Bank, Research Department.
  4. Francesco Menoncin, 2005. "Risk management and asset allocation with jump-diffusion exogenous risks: Some algebraic approximated solutions," The European Journal of Finance, Taylor & Francis Journals, vol. 11(3), pages 223-246.
  5. Hoevenaars, Roy P.M.M. & Ponds, Eduard H.M., 2008. "Valuation of intergenerational transfers in funded collective pension schemes," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 578-593, April.
  6. Francesco MENONCIN, 2002. "How the Financial Managers’ Remuneration Can Affect the Optimal Portfolio Composition ?," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2002022, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  7. David Blake, 2003. "Financial system requirements for successful pension reform," LSE Research Online Documents on Economics 24862, London School of Economics and Political Science, LSE Library.
  8. Noël Bonneuil, 2013. "Early Warning to Insolvency in the Pension Fund: The French Case," Risks, MDPI, Open Access Journal, vol. 1(1), pages 1-13, January.
  9. John Cotter & David Blake & Kevin Dowd, 2012. "What Should Be Done About The Underfunding of Defined Benefit Pension Schemes?," Working Papers 201202, Geary Institute, University College Dublin.
  10. Devolder, Pierre & Bosch Princep, Manuela & Dominguez Fabian, Inmaculada, 2003. "Stochastic optimal control of annuity contracts," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 227-238, October.
  11. David Blake, 2003. "UK pension fund management after Myners: the hunt for correlation begins," LSE Research Online Documents on Economics 24833, London School of Economics and Political Science, LSE Library.
  12. Ponds, E.H.M., 2003. "Pension funds and value-based generational accounting," Open Access publications from Tilburg University urn:nbn:nl:ui:12-347898, Tilburg University.
  13. Timothy Besley & Andrea Prat, 2003. "Pension fund governance and the choice between defined benefit and defined contribution plans," LSE Research Online Documents on Economics 24853, London School of Economics and Political Science, LSE Library.
  14. Francesco MENONCIN, 2001. "How to Manage Inflation Risk in an Asset Allocation Problem : an Algebric Aproximated Solution," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2001035, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  15. de Jong, Frank, 2008. "Pension fund investments and the valuation of liabilities under conditional indexation," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 1-13, February.
  16. Menoncin, Francesco, 2002. "Optimal portfolio and background risk: an exact and an approximated solution," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 249-265, October.
  17. Katarzyna Romaniuk, 2007. "The optimal asset allocation of the main types of pension funds: a unified framework," The Geneva Papers on Risk and Insurance Theory, Springer, vol. 32(2), pages 113-128, December.

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