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Pension fund investments and the valuation of liabilities under conditional indexation

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Author Info
de Jong, Frank
Abstract

This paper reviews the investment policy of collective pension plans. We focus on funds with a collective Defined Contribution character. We suggest two reasons to invest in equities: the lack of a well-developed market in index-linked bonds, and deliberate deviations from the Defined Benefit nature of the plan. Furthermore, this paper assesses the value of limited or conditional indexation options found in many plans.

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File URL: http://www.sciencedirect.com/science/article/B6V8N-4MNHXX8-2/2/45228407d5a632c37b4ccd15267b2c34
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Publisher Info
Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

Volume (Year): 42 (2008)
Issue (Month): 1 (February)
Pages: 1-13
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Handle: RePEc:eee:insuma:v:42:y:2008:i:1:p:1-13

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

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  1. Maarten Rooij & Arjen Siegmann & Peter Vlaar, 2008. "Market Valuation, Pension Fund Policy and Contribution Volatility," De Economist, Springer, vol. 156(1), pages 73-93, March. [Downloadable!] (restricted)
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