An institutional evaluation of pension funds and life insurance companies
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References listed on IDEAS
- Broeders, Dirk & Chen, An, 2010.
"Pension regulation and the market value of pension liabilities: A contingent claims analysis using Parisian options,"
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Elsevier, vol. 34(6), pages 1201-1214, June.
- Dirk Broeders & An Chen, 2008. "Pension regulation and the market value of pension liabilities - a contingent claims analysis using Parisian options," DNB Working Papers 183, Netherlands Central Bank, Research Department.
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More about this item
KeywordsPension plans; barrier options; contingent claim approach; mean-variance analysis.;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-01-10 (All new papers)
- NEP-IAS-2010-01-10 (Insurance Economics)
- NEP-RMG-2010-01-10 (Risk Management)
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