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Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase

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Author Info
Blake, David
Cairns, Andrew J. G.
Dowd, Kevin

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Abstract

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File URL: http://www.sciencedirect.com/science/article/B6V8N-445GDVR-2/2/7c3b3e3dc98c8edb9bbfb4837e10a98d
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Publisher Info
Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

Volume (Year): 29 (2001)
Issue (Month): 2 (October)
Pages: 187-215
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Handle: RePEc:eee:insuma:v:29:y:2001:i:2:p:187-215

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

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  1. Olivia S. Mitchell & David McCarthy, 2002. "Annuities for an Ageing World," NBER Working Papers 9092, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. Paolo BATTOCCHIO, 2002. "Optimal Portfolio Strategies with Stochastic Wage Income : The Case of A defined Contribution Pension Plan," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2002005, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
  3. Paolo BATTOCCHIO & Francesco MENONCIN, 2002. "Optimal Pension Management under Stochastic Interest Rates, Wages, and Inflation," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2002021, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
  4. Ivica Dus & Raimond Maurer & Olivia S. Mitchell, 2003. "Betting on Death and Capital Markets in Retirement: A Shortfall Risk Analysis of Life Annuities versus Phased Withdrawal Plans," Working Papers wp063, University of Michigan, Michigan Retirement Research Center. [Downloadable!]
  5. Anup Basu & Alistair Byrnes & Michael E. Drew, . "Dynamic Lifecycle Strategies for Target Date Retirement Funds," Working Papers finance:200902, Department of Finance, Accounting, and Economics, Griffith University. [Downloadable!]
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