Target benefit pension with longevity risk and stochastic interest rate valuation
Author
Abstract
Suggested Citation
DOI: 10.1016/j.insmatheco.2024.12.003
Download full text from publisher
As the access to this document is restricted, you may want to
for a different version of it.References listed on IDEAS
- Zhou, Hongjuan & Zhou, Kenneth Q. & Li, Xianping, 2022. "Stochastic mortality dynamics driven by mixed fractional Brownian motion," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 218-238.
- Rong, Ximin & Tao, Cheng & Zhao, Hui, 2023. "Target benefit pension plan with longevity risk and intergenerational equity – CORRIGENDUM," ASTIN Bulletin, Cambridge University Press, vol. 53(2), pages 488-488, May.
- John Hull & Alan White, 2001. "The General Hull–White Model and Supercalibration," Financial Analysts Journal, Taylor & Francis Journals, vol. 57(6), pages 34-43, November.
- Moore Mark A. & Boardman Anthony E. & Vining Aidan R., 2013.
"More appropriate discounting: the rate of social time preference and the value of the social discount rate,"
Journal of Benefit-Cost Analysis, De Gruyter, vol. 4(1), pages 1-16, March.
- Moore, Mark A. & Boardman, Anthony E. & Vining, Aidan R., 2013. "More appropriate discounting: the rate of social time preference and the value of the social discount rate," Journal of Benefit-Cost Analysis, Cambridge University Press, vol. 4(1), pages 1-16, March.
- Zhu, Xiaobai & Hardy, Mary & Saunders, David, 2021. "Fair Transition From Defined Benefit To Target Benefit," ASTIN Bulletin, Cambridge University Press, vol. 51(3), pages 873-904, September.
- Perry, David & Stadje, Wolfgang, 2001. "Function space integration for annuities," Insurance: Mathematics and Economics, Elsevier, vol. 29(1), pages 73-82, August.
- Shripad Tuljapurkar, 2010. "The Final Inequality: Variance in Age at Death," NBER Chapters, in: Demography and the Economy, pages 209-221, National Bureau of Economic Research, Inc.
- Biffis, Enrico, 2005. "Affine processes for dynamic mortality and actuarial valuations," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 443-468, December.
- Beekman, John A. & Fuelling, Clinton P., 1990. "Interest and mortality randomness in some annuities," Insurance: Mathematics and Economics, Elsevier, vol. 9(2-3), pages 185-196, September.
- Wang, Suxin & Lu, Yi, 2019. "Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 46-62.
- Rong, Ximin & Tao, Cheng & Zhao, Hui, 2023. "Target benefit pension plan with longevity risk and intergenerational equity," ASTIN Bulletin, Cambridge University Press, vol. 53(1), pages 84-103, January.
- De Schepper, A. & De Vylder, F. & Goovaerts, M. & Kaas, R., 1992. "Interest randomness in annuities certain," Insurance: Mathematics and Economics, Elsevier, vol. 11(4), pages 271-281, December.
- Huang, Huaxiong & Milevsky, Moshe A. & Salisbury, Thomas S., 2012.
"Optimal retirement consumption with a stochastic force of mortality,"
Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 282-291.
- Huaxiong Huang & Moshe A. Milevsky & Thomas S. Salisbury, 2012. "Optimal retirement consumption with a stochastic force of mortality," Papers 1205.2295, arXiv.org.
- Wang, Suxin & Lu, Yi & Sanders, Barbara, 2018. "Optimal investment strategies and intergenerational risk sharing for target benefit pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 80(C), pages 1-14.
- Vanneste, M. & Goovaerts, M. J. & De Schepper, A. & Dhaene, J., 1997. "A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate," Insurance: Mathematics and Economics, Elsevier, vol. 20(1), pages 35-41, June.
- Wang, Ling & Wong, Hoi Ying, 2021. "Time-consistent longevity hedging with long-range dependence," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 25-41.
- De Schepper, A. & Goovaerts, M., 1992. "Some further results on annuities certain with random interest," Insurance: Mathematics and Economics, Elsevier, vol. 11(4), pages 283-290, December.
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.- Marcus C. Christiansen, 2013. "Gaussian and Affine Approximation of Stochastic Diffusion Models for Interest and Mortality Rates," Risks, MDPI, vol. 1(3), pages 1-20, October.
- Chen, Lv & Li, Danping & Wang, Yumin & Zhu, Xiaobai, 2025. "Equilibrium intergenerational risk-sharing design for a target benefit pension plan," Insurance: Mathematics and Economics, Elsevier, vol. 122(C), pages 275-299.
- De Schepper, Ann & Goovaerts, Marc & Dhaene, Jan & Kaas, Rob & Vyncke, David, 2002.
"Bounds for present value functions with stochastic interest rates and stochastic volatility,"
Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 87-103, August.
- DE SCHEPPER, Ann & GOOVAERTS, Marc & DHAENE, Jan & KAAS, Rob & VYNCKE, David, 2001. "Bounds for present value functions with stochastic interest rates and stochastic volatility," Working Papers 2001037, University of Antwerp, Faculty of Business and Economics.
- Perry, David & Stadje, Wolfgang & Yosef, Rami, 2003. "Annuities with controlled random interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 32(2), pages 245-253, April.
- Wang, Nan & Gerrard, Russell & Haberman, Steven, 2004. "The premium and the risk of a life policy in the presence of interest rate fluctuations," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 537-551, December.
- Perry, David & Stadje, Wolfgang, 2001. "Function space integration for annuities," Insurance: Mathematics and Economics, Elsevier, vol. 29(1), pages 73-82, August.
- Charupat, Narat & Milevsky, Moshe A., 2002. "Optimal asset allocation in life annuities: a note," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 199-209, April.
- Mei Choi Chiu & Ling Wang & Hoi Ying Wong, 2025. "Long-range dependent mortality modeling with cointegration," Papers 2503.09377, arXiv.org.
- Marceau, Etienne & Gaillardetz, Patrice, 1999. "On life insurance reserves in a stochastic mortality and interest rates environment," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 261-280, December.
- Huang, H. & Milevsky, M.A. & Salisbury, T.S., 2017.
"Retirement spending and biological age,"
Journal of Economic Dynamics and Control, Elsevier, vol. 84(C), pages 58-76.
- Huaxiong Huang & Moshe A. Milevsky & Thomas S. Salisbury, 2018. "Retirement spending and biological age," Papers 1811.09921, arXiv.org.
- Blake, David & El Karoui, Nicole & Loisel, Stéphane & MacMinn, Richard, 2018.
"Longevity risk and capital markets: The 2015–16 update,"
Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 157-173.
- David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
- Parker, Gary, 1995. "A second order stochastic differential equation for the force of interest," Insurance: Mathematics and Economics, Elsevier, vol. 16(3), pages 211-224, July.
- Vanneste, M. & Goovaerts, M. J. & De Schepper, A. & Dhaene, J., 1997. "A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate," Insurance: Mathematics and Economics, Elsevier, vol. 20(1), pages 35-41, June.
- Milevsky, Moshe Arye, 1997. "The present value of a stochastic perpetuity and the Gamma distribution," Insurance: Mathematics and Economics, Elsevier, vol. 20(3), pages 243-250, October.
- Josa-Fombellida, Ricardo & López-Casado, Paula, 2025. "Optimal investment and benefit strategies for a target benefit pension plan where the risky assets are jump diffusion processes," Insurance: Mathematics and Economics, Elsevier, vol. 121(C), pages 100-110.
- Zhou, Hongjuan & Zhou, Kenneth Q. & Li, Xianping, 2022. "Stochastic mortality dynamics driven by mixed fractional Brownian motion," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 218-238.
- Yan, Tingjin & Park, Kyunghyun & Wong, Hoi Ying, 2022. "Irreversible reinsurance: A singular control approach," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 326-348.
- Salvador Cruz Rambaud & Fabrizio Maturo & Ana Maria Sánchez Pérez & Massimo Squillante, 2023. "AnnuityRIR: an R-package to approximate the value of an annuity according to the non-central moments of the capitalization factor," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(3), pages 347-366, October.
- Chenghsien Tsai & Weiyu Kuo & Derek Mi‐Hsiu Chiang, 2009. "The Distributions of Policy Reserves Considering the Policy‐Year Structures of Surrender Rates and Expense Ratios," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(4), pages 909-931, December.
- Zhao, Hui & Wang, Suxin, 2022. "Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility," European Journal of Operational Research, Elsevier, vol. 301(3), pages 1166-1180.
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:120:y:2025:i:c:p:285-301. 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.