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

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  • Blake, David
  • Cairns, Andrew J. G.
  • Dowd, Kevin

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Bibliographic 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. Poterba, James M. & Summers, Lawrence H., 1988. "Mean reversion in stock prices : Evidence and Implications," Journal of Financial Economics, Elsevier, Elsevier, vol. 22(1), pages 27-59, October.
  2. 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.
  3. Spanos, Aris, 1994. "On Modeling Heteroskedasticity: The Student's t and Elliptical Linear Regression Models," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 10(02), pages 286-315, June.
  4. Andrew W. Lo & A. Craig MacKinlay, 1988. "The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0066, National Bureau of Economic Research, Inc.
  5. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
  6. Philippe Jorion & William N. Goetzmann, 2000. "A Century of Global Stock Markets," NBER Working Papers 7565, National Bureau of Economic Research, Inc.
  7. Brown, Stephen J & Goetzmann, William N & Ross, Stephen A, 1995. " Survival," Journal of Finance, American Finance Association, American Finance Association, vol. 50(3), pages 853-73, July.
  8. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 9(3), pages 203-228.
  9. Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, Elsevier, vol. 6(3), pages 255-259.
  10. 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.
  11. Cochrane, John H, 1988. "How Big Is the Random Walk in GNP?," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 96(5), pages 893-920, October.
  12. 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.
  13. Griselda Deelstra & Martino Grasselli & Pierre-Fran├žois Koehl, 2000. "Optimal investment strategies in a CIR framework," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles 2013/7594, ULB -- Universite Libre de Bruxelles.
  14. David Miles & Allan Timmermann, 1999. "Risk sharing and transition costs in the reform of pension systems in Europe," Economic Policy, CEPR;CES;MSH, CEPR;CES;MSH, vol. 14(29), pages 251-286, October.
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