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Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase

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  • Blake, David
  • Cairns, Andrew J. G.
  • Dowd, Kevin

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  • Blake, David & Cairns, Andrew J. G. & Dowd, Kevin, 2001. "Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase," Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 187-215, October.
    • Handle: RePEc:eee:insuma:v:29:y:2001:i:2:p:187-215
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    5. Blake, David, 1996. "Efficiency, Risk Aversion and Portfolio Insurance: An Analysis of Financial Asset Portfolios Held by Investors in the United Kingdom," Economic Journal, Royal Economic Society, vol. 106(438), pages 1175-1192, September.
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    12. 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.
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    16. Cairns, Andrew J. G., 2000. "A discussion of parameter and model uncertainty in insurance," Insurance: Mathematics and Economics, Elsevier, vol. 27(3), pages 313-330, December.
    17. Cairns, A.J.G., 1999. "An Analysis of the Level of Security Provided by the Minimum Funding Requirement," British Actuarial Journal, Cambridge University Press, vol. 5(3), pages 585-610, August.
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