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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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    14. 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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