IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v37y2005i3p469-493.html
   My bibliography  Save this article

Benefit uncertainty and default risk in pension plans

Author

Listed:
  • Khorasanee, Zaki

Abstract

No abstract is available for this item.

Suggested Citation

  • Khorasanee, Zaki, 2005. "Benefit uncertainty and default risk in pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 469-493, December.
    • Handle: RePEc:eee:insuma:v:37:y:2005:i:3:p:469-493
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-6687(05)00048-X
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Paul A. Samuelson, 1958. "An Exact Consumption-Loan Model of Interest with or without the Social Contrivance of Money," Journal of Political Economy, University of Chicago Press, vol. 66, pages 467-467.
    2. M. Iqbal Owadally & Haberman Steven, 2004. "Efficient Gain and Loss Amortization and Optimal Funding in Pension Plans," North American Actuarial Journal, Taylor & Francis Journals, vol. 8(1), pages 21-36.
    3. Cairns, Andrew, 2000. "Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time," ASTIN Bulletin, Cambridge University Press, vol. 30(1), pages 19-55, May.
    4. Cairns, Andrew J. G. & Parker, Gary, 1997. "Stochastic pension fund modelling," Insurance: Mathematics and Economics, Elsevier, vol. 21(1), pages 43-79, October.
    5. M. Iqbal Owadally & Steven Haberman, 1999. "Pension Fund Dynamics and Gains/Losses Due to Random Rates of Investment Return," North American Actuarial Journal, Taylor & Francis Journals, vol. 3(3), pages 105-117.
    6. Haberman, Steven, 1993. "Pension funding : The effect of changing the frequency of valuations," Insurance: Mathematics and Economics, Elsevier, vol. 13(3), pages 263-270, December.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Taylor, Greg, 2002. "Stochastic control of funding systems," Insurance: Mathematics and Economics, Elsevier, vol. 30(3), pages 323-350, June.
    2. John Board & Charles Sutcliffe, 2007. "Joined-Up Pensions Policy in the UK: An Asset-Liability Model for Simultaneously Determining the Asset Allocation and Contribution Rate," Economic Analysis, Institute of Economic Sciences, vol. 40(3-4), pages 87-118.
    3. Chang, Shih-Chieh & Chen, Chiang-Chu, 2002. "Allocating unfunded liability in pension valuation under uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 30(3), pages 371-387, June.
    4. 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.
    5. Josa-Fombellida, Ricardo & Navas, Jorge, 2020. "Time consistent pension funding in a defined benefit pension plan with non-constant discounting," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 142-153.
    6. Josa-Fombellida, Ricardo & Rincón-Zapatero, Juan Pablo, 2012. "Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes," European Journal of Operational Research, Elsevier, vol. 220(2), pages 404-413.
    7. Maurer, Raimond & Mitchell, Olivia S. & Rogalla, Ralph, 2009. "Managing contribution and capital market risk in a funded public defined benefit plan: Impact of CVaR cost constraints," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 25-34, August.
    8. Gabay, Daniel & Grasselli, Martino, 2012. "Fair demographic risk sharing in defined contribution pension systems," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 657-669.
    9. Huang, Hong-Chih & Cairns, Andrew J.G., 2006. "On the control of defined-benefit pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 113-131, February.
    10. Josa-Fombellida, Ricardo & Rincon-Zapatero, Juan Pablo, 2001. "Minimization of risks in pension funding by means of contributions and portfolio selection," Insurance: Mathematics and Economics, Elsevier, vol. 29(1), pages 35-45, August.
    11. Ngwira, Bernard & Gerrard, Russell, 2007. "Stochastic pension fund control in the presence of Poisson jumps," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 283-292, March.
    12. Josa-Fombellida, Ricardo & Rincon-Zapatero, Juan Pablo, 2004. "Optimal risk management in defined benefit stochastic pension funds," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 489-503, June.
    13. Colombo, Luigi & Haberman, Steven, 2005. "Optimal contributions in a defined benefit pension scheme with stochastic new entrants," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 335-354, October.
    14. 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.
    15. Hwang, Chiun-Lin, 1989. "Optimal monetary policy in an open macroeconomic model with rational expectation," ISU General Staff Papers 1989010108000010197, Iowa State University, Department of Economics.
    16. Janet Hua Jiang & Enchuan Shao, 2014. "Understanding the Cash Demand Puzzle," Staff Working Papers 14-22, Bank of Canada.
    17. Hillebrand, Marten & Kikuchi, Tomoo, 2015. "A mechanism for booms and busts in housing prices," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 204-217.
    18. Antoine Bozio & Simon Rabaté & Audrey Rain & Maxime To, 2019. "Quelles règles de pilotage pour un système de retraite à rendement défini?," PSE-Ecole d'économie de Paris (Postprint) halshs-02514738, HAL.
    19. Daisuke Ikeda & Toan Phan & Timothy Sablik, 2020. "Asset Bubbles and Global Imbalances," Richmond Fed Economic Brief, Federal Reserve Bank of Richmond, vol. 20, pages 1-4, January.
    20. de Mendonça, Helder Ferreira & Tiberto, Bruno Pires, 2014. "Public debt and social security: Level of formality matters," Economic Modelling, Elsevier, vol. 42(C), pages 490-507.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:37:y:2005:i:3:p:469-493. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.