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Contribution and solvency risk in a defined benefit pension scheme

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  • Haberman, Steven
  • Butt, Zoltan
  • Megaloudi, Chryssoula
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    File URL: http://www.sciencedirect.com/science/article/B6V8N-41H9KVT-8/2/dff4a36aa24ffcb027550e47416eaf98
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    Bibliographic Info

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

    Volume (Year): 27 (2000)
    Issue (Month): 2 (October)
    Pages: 237-259

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    Handle: RePEc:eee:insuma:v:27:y:2000:i:2:p:237-259

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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. Cairns, Andrew J. G. & Parker, Gary, 1997. "Stochastic pension fund modelling," Insurance: Mathematics and Economics, Elsevier, vol. 21(1), pages 43-79, October.
    2. Haberman, Steven, 1997. "Stochastic investment returns and contribution rate risk in a defined benefit pension scheme," Insurance: Mathematics and Economics, Elsevier, vol. 19(2), pages 127-139, April.
    3. Haberman, Steven & Sung, Joo-Ho, 1994. "Dynamic approaches to pension funding," Insurance: Mathematics and Economics, Elsevier, vol. 15(2-3), pages 151-162, December.
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    Cited by:
    1. Josa-Fombellida, Ricardo & Rincón-Zapatero, Juan Pablo, 2010. "Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates," European Journal of Operational Research, Elsevier, vol. 201(1), pages 211-221, February.
    2. Delong, Lukasz & Gerrard, Russell & Haberman, Steven, 2008. "Mean-variance optimization problems for an accumulation phase in a defined benefit plan," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 107-118, February.
    3. Josa-Fombellida, Ricardo & Rincon-Zapatero, Juan Pablo, 2006. "Optimal investment decisions with a liability: The case of defined benefit pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 39(1), pages 81-98, August.
    4. Olivia S. Mitchell & John Piggott & Cagri Kumru, 2008. "Managing Public Investment Funds: Best Practices and New Challenges," NBER Working Papers 14078, National Bureau of Economic Research, Inc.
    5. Raimond Maurer & Olivia S. Mitchell & Ralph Rogalla, 2008. "Managing Contribution and Capital Market Risk in a Funded Public Defined Benefit Plan: Impact of CVaR Cost Constraints," NBER Working Papers 14332, National Bureau of Economic Research, Inc.
    6. John Board & Charles Sutcliffe, 2005. "Joined-Up Pensions Policy in the UK: An Asset-Libility Model for Simultaneously Determining the Asset Allocation and Contribution Rate," ICMA Centre Discussion Papers in Finance icma-dp2005-11, Henley Business School, Reading University.
    7. Taylor, Greg, 2002. "Stochastic control of funding systems," Insurance: Mathematics and Economics, Elsevier, vol. 30(3), pages 323-350, June.
    8. Haberman, Steven & Sung, Joo-Ho, 2005. "Optimal pension funding dynamics over infinite control horizon when stochastic rates of return are stationary," Insurance: Mathematics and Economics, Elsevier, vol. 36(1), pages 103-116, February.

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