Essays on the valuation of discretionary liabilities and pension fund investment policy
AbstractThe four essays collected in this dissertation serve as a contribution to the broad field of pension finance. They focus on the economic understanding of liability valuation on the one hand and investment policy for pension funds on the other. The first article concerns the impact of the sponsor’s creditworthiness on the valuation of contingent pension liabilities and optimal investment policy. The second article considers the relationship between investment policy, regulatory environment and the valuation of contingent pension liabilities. The third article describes how pension funds adjust their asset allocation in reaction to the performance of the stock market. The final article tests how pension funds account for the age of the participants in choosing their investment strategy.
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Bibliographic InfoPaper provided by Tilburg University in its series Open Access publications from Tilburg University with number urn:nbn:nl:ui:12-4054631.
Date of creation: 2010
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Publication status: Published
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Web page: http://www.tilburguniversity.edu/
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- Juan Yermo, 2007. "Reforming the Valuation and Funding of Pension Promises: Are Occupational Pension Plans Safer?," OECD Working Papers on Insurance and Private Pensions 13, OECD Publishing.
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