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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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  1. Hayne E. Leland., 1979. "Who Should Buy Portfolio Insurance?," Research Program in Finance Working Papers, University of California at Berkeley 95, University of California at Berkeley.
  2. Margrabe, William, 1978. "The Value of an Option to Exchange One Asset for Another," Journal of Finance, American Finance Association, American Finance Association, vol. 33(1), pages 177-86, March.
  3. 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, American Finance Association, vol. 30(5), pages 1360-65, December.
  4. Gatto, Mary Ann & Geske, Robert & Litzenberger, Robert & Sosin, Howard, 1980. "Mutual fund insurance," Journal of Financial Economics, Elsevier, Elsevier, vol. 8(3), pages 283-317, September.
  5. 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.
  6. Black, Fischer & Perold, AndreF., 1992. "Theory of constant proportion portfolio insurance," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 16(3-4), pages 403-426.
  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, American Finance Association, vol. 36(1), pages 1-13, March.
  10. Fischer, Stanley, 1978. "Call Option Pricing when the Exercise Price Is Uncertain, and the Valuation of Index Bonds," Journal of Finance, American Finance Association, American Finance Association, vol. 33(1), pages 169-76, March.
  11. Disney, Richard & Whitehouse, Edward, 1996. "What Are Occupational Pension Plan Entitlements Worth in Britain?," Economica, London School of Economics and Political Science, London School of Economics and Political Science, vol. 63(250), pages 213-38, May.
  12. Brennan, M.J. & Solanki, R., 1981. "Optimal Portfolio Insurance," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 16(03), pages 279-300, September.
  13. 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.
  14. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, 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. 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, Elsevier, vol. 1(1), pages 67-94, May.
  17. Sharpe, William F., 1976. "Corporate pension funding policy," Journal of Financial Economics, Elsevier, Elsevier, vol. 3(3), pages 183-193, June.
  18. Brennan, M J, 1979. "The Pricing of Contingent Claims in Discrete Time Models," Journal of Finance, American Finance Association, American Finance Association, vol. 34(1), pages 53-68, March.
  19. O'Brien, Thomas, 1986. "A stochastic-dynamic approach to pension funding," Insurance: Mathematics and Economics, Elsevier, vol. 5(2), pages 141-146, April.
  20. Blake, David, 1996. "Efficiency, Risk Aversion and Portfolio Insurance: An Analysis of Financial Asset Portfolios Held by Investors in the United Kingdom," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 106(438), pages 1175-92, September.
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Citations

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Cited by:
  1. Blake, David, 2001. "The United Kingdom Pension System: Key Issues," Discussion Paper, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University 15, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University.
  2. 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.
  3. 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).
  4. 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.
  5. Besley, Timothy J. & Prat, Andrea, 2003. "Pension Fund Governance and the Choice Between Defined Benefit and Defined Contribution Plans," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3955, C.E.P.R. Discussion Papers.
  6. 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, Taylor & Francis Journals, vol. 11(3), pages 223-246.
  7. John Cotter & David Blake & Kevin Dowd, 2012. "What Should Be Done About The Underfunding of Defined Benefit Pension Schemes?," Working Papers, Geary Institute, University College Dublin 201202, Geary Institute, University College Dublin.
  8. David Blake, 2003. "Financial system requirements for successful pension reform," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 24862, London School of Economics and Political Science, LSE Library.
  9. Dirk Broeders, 2006. "Valuation of Conditional Pension Liabilities and Guarantees under Sponsor Vulnerabilities," DNB Working Papers, Netherlands Central Bank, Research Department 082, Netherlands Central Bank, Research Department.
  10. 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).
  11. 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.
  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. 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.
  14. 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, Springer, vol. 32(2), pages 113-128, December.
  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. Noël Bonneuil, 2013. "Early Warning to Insolvency in the Pension Fund: The French Case," Risks, MDPI, Open Access Journal, MDPI, Open Access Journal, vol. 1(1), pages 1-13, January.
  17. David Blake, 2003. "UK pension fund management after Myners: the hunt for correlation begins," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 24833, London School of Economics and Political Science, LSE Library.

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