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Managing Capital Market and Longevity Risks in a Defined Benefit Pension Plan

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  • Samuel H. Cox
  • Yijia Lin
  • Ruilin Tian
  • Jifeng Yu

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  • Samuel H. Cox & Yijia Lin & Ruilin Tian & Jifeng Yu, 2013. "Managing Capital Market and Longevity Risks in a Defined Benefit Pension Plan," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 585-620, September.
    • Handle: RePEc:bla:jrinsu:v:80:y:2013:i:3:p:585-620
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    File URL: http://hdl.handle.net/10.1111/j.1539-6975.2012.01508.x
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    References listed on IDEAS

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    1. David Blake & Andrew Cairns & Kevin Dowd & Richard MacMinn, 2006. "Longevity Bonds: Financial Engineering, Valuation, and Hedging," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(4), pages 647-672, December.
    2. Haberman, Steven & Butt, Zoltan & Megaloudi, Chryssoula, 2000. "Contribution and solvency risk in a defined benefit pension scheme," Insurance: Mathematics and Economics, Elsevier, vol. 27(2), pages 237-259, October.
    3. Maurer, Raimond & Mitchell, Olivia S. & Rogalla, Ralph, 2009. "Managing contribution and capital market risk in a funded public defined benefit plan: Impact of CVaR cost constraints," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 25-34, August.
    4. Kouwenberg, Roy, 2001. "Scenario generation and stochastic programming models for asset liability management," European Journal of Operational Research, Elsevier, vol. 134(2), pages 279-292, October.
    5. Chang, S. C. & Tzeng, Larry Y. & Miao, Jerry C. Y., 2003. "Pension funding incorporating downside risks," Insurance: Mathematics and Economics, Elsevier, vol. 32(2), pages 217-228, April.
    6. Andreas Milidonis & Yijia Lin & Samuel Cox, 2011. "Mortality Regimes and Pricing," North American Actuarial Journal, Taylor & Francis Journals, vol. 15(2), pages 266-289.
    7. Josa-Fombellida, Ricardo & Rincon-Zapatero, Juan Pablo, 2004. "Optimal risk management in defined benefit stochastic pension funds," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 489-503, June.
    8. Lin, Yijia & Cox, Samuel H., 2008. "Securitization of catastrophe mortality risks," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 628-637, April.
    9. Colombo, Luigi & Haberman, Steven, 2005. "Optimal contributions in a defined benefit pension scheme with stochastic new entrants," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 335-354, October.
    10. Cox, Samuel H. & Lin, Yijia & Pedersen, Hal, 2010. "Mortality risk modeling: Applications to insurance securitization," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 242-253, February.
    11. Josa-Fombellida, Ricardo & Rincon-Zapatero, Juan Pablo, 2001. "Minimization of risks in pension funding by means of contributions and portfolio selection," Insurance: Mathematics and Economics, Elsevier, vol. 29(1), pages 35-45, August.
    12. Deborah J. Lucas & Stephen P. Zeldes, 2009. "How Should Public Pension Plans Invest?," American Economic Review, American Economic Association, vol. 99(2), pages 527-532, May.
    13. Delong, Lukasz & Gerrard, Russell & Haberman, Steven, 2008. "Mean-variance optimization problems for an accumulation phase in a defined benefit plan," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 107-118, February.
    14. Haberman, Steven & Sung, Joo-Ho, 2005. "Optimal pension funding dynamics over infinite control horizon when stochastic rates of return are stationary," Insurance: Mathematics and Economics, Elsevier, vol. 36(1), pages 103-116, February.
    15. Francesco Franzoni & José M. Marín, 2006. "Pension Plan Funding and Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 61(2), pages 921-956, April.
    16. Haberman, Steven, 1997. "Stochastic investment returns and contribution rate risk in a defined benefit pension scheme," Insurance: Mathematics and Economics, Elsevier, vol. 19(2), pages 127-139, April.
    17. Sherris Michael & Wills Samuel, 2008. "Financial Innovation and the Hedging of Longevity Risk," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 3(1), pages 1-14, September.
    18. Haberman, Steven & Sung, Joo-Ho, 1994. "Dynamic approaches to pension funding," Insurance: Mathematics and Economics, Elsevier, vol. 15(2-3), pages 151-162, December.
    19. Wills, Samuel & Sherris, Michael, 2010. "Securitization, structuring and pricing of longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 173-185, February.
    20. Yijia Lin & Samuel H. Cox, 2005. "Securitization of Mortality Risks in Life Annuities," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 72(2), pages 227-252, June.
    21. Jeremy Gold & Nick Hudson, 2003. "Creating Value In Pension Plans (Or, Gentlemen Prefer Bonds)," Journal of Applied Corporate Finance, Morgan Stanley, vol. 15(4), pages 51-57, September.
    22. Samuel H. Cox & Yijia Lin & Shaun Wang, 2006. "Multivariate Exponential Tilting and Pricing Implications for Mortality Securitization," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(4), pages 719-736, December.
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    Cited by:

    1. Guohui Guan & Zongxia Liang & Yi Xia, 2023. "Optimal management of DB pension fund under both underfunded and overfunded cases," Papers 2302.08731, arXiv.org.
    2. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    3. David Blake & Marco Morales & Enrico Biffis & Yijia Lin & Andreas Milidonis, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 515-532, April.
    4. D’Amato, Valeria & Di Lorenzo, Emilia & Haberman, Steven & Sagoo, Pretty & Sibillo, Marilena, 2018. "De-risking strategy: Longevity spread buy-in," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 124-136.
    5. Ai, Jing & Brockett, Patrick L. & Jacobson, Allen F., 2015. "A new defined benefit pension risk measurement methodology," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 40-51.
    6. 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.
    7. Josa-Fombellida, Ricardo & Navas, Jorge, 2020. "Time consistent pension funding in a defined benefit pension plan with non-constant discounting," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 142-153.
    8. Fadoua Zeddouk & Pierre Devolder, 2019. "Pricing of Longevity Derivatives and Cost of Capital," Risks, MDPI, vol. 7(2), pages 1-29, April.
    9. Lin, Yijia & MacMinn, Richard D. & Tian, Ruilin, 2015. "De-risking defined benefit plans," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 52-65.
    10. Cox, Samuel H. & Lin, Yijia & Shi, Tianxiang, 2018. "Pension risk management with funding and buyout options," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 183-200.
    11. M. Martin Boyer & Lars Stentoft, 2017. "Yes We Can (Price Derivatives on Survivor Indices)," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 20(1), pages 37-62, March.

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