Valuation of pension liabilities in incomplete markets
This paper discusses the valuation of wage-indexed pension fund liabilities. Valuation by replication with market instruments is typically not possible as there are no wage-indexed assets. This paper discusses several methods to find a value in such incomplete markets and advocates utility-based valuation. This approach implies a simple adjustment on the discount factor that can be used to calculate the value of wage indexed liabilities.
(This abstract was borrowed from another version of this item.)
Volume (Year): 7 (2008)
Issue (Month): 03 (November)
|Contact details of provider:|| Postal: |
Web page: http://journals.cambridge.org/jid_PEF
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
- Suleyman Basak & Alexander Shapiro, 1999.
"Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
99-032, New York University, Leonard N. Stern School of Business-.
- Basak, Suleyman & Shapiro, Alexander, 2001. "Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices," Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 371-405.
- Suleyman Basak & Alex Shapiro, . "Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices," Rodney L. White Center for Financial Research Working Papers 06-99, Wharton School Rodney L. White Center for Financial Research.
- Suleyman Basak & Alex Shapiro, . "Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices," Rodney L. White Center for Financial Research Working Papers 6-99, Wharton School Rodney L. White Center for Financial Research.
- Eugene Fama & F. & Kenneth R. French, .
"The Equity Premium.","
CRSP working papers
522, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Antonios Sangvinatsos & Jessica A. Wachter, 2005.
"Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors?,"
Journal of Finance,
American Finance Association, vol. 60(1), pages 179-230, 02.
- Antonios Sangvinatsos & Jessica A. Wachter, 2003. "Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors," NBER Working Papers 10086, National Bureau of Economic Research, Inc.
- Berend Roorda & J. M. Schumacher & Jacob Engwerda, 2005. "Coherent Acceptability Measures In Multiperiod Models," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 589-612.
- Otto van Hemert & Franck de Jong & Joost Driessen, 2005. "Dynamic portfolio and mortgage choice for homeowners," LSE Research Online Documents on Economics 24650, London School of Economics and Political Science, LSE Library.
- Henderson, Vicky, 2005. "Explicit solutions to an optimal portfolio choice problem with stochastic income," Journal of Economic Dynamics and Control, Elsevier, vol. 29(7), pages 1237-1266, July.
- HuyËn Pham & Nizar Touzi & Jaksa Cvitanic, 1999. "A closed-form solution to the problem of super-replication under transaction costs," Finance and Stochastics, Springer, vol. 3(1), pages 35-54.
- Svensson, Lars E. O. & Werner, Ingrid M., 1993.
"Nontraded assets in incomplete markets : Pricing and portfolio choice,"
European Economic Review,
Elsevier, vol. 37(5), pages 1149-1168, June.
- Svensson, L.E. & Werner, I., 1990. "Nontraded Assets in Incomplete Markets: Pricing and Portfolio Choices," Papers 477, Stockholm - International Economic Studies.
- Michael J. Brennan & Yihong Xia, 2002. "Dynamic Asset Allocation under Inflation," Journal of Finance, American Finance Association, vol. 57(3), pages 1201-1238, 06.
- Munk, Claus & Sørensen, Carsten, 2010. "Dynamic asset allocation with stochastic income and interest rates," Journal of Financial Economics, Elsevier, vol. 96(3), pages 433-462, June.
- Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
- Koijen, R.S.J. & Nijman, T.E. & Werker, B.J.M., 2005. "Labor Income and the Demand for Long-term Bonds," Discussion Paper 2005-95, Tilburg University, Center for Economic Research.
When requesting a correction, please mention this item's handle: RePEc:cup:jpenef:v:7:y:2008:i:03:p:277-294_00. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters)
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 references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.