Sustainability of participation in collective pension schemes: An option pricing approach
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DOI: 10.1016/j.insmatheco.2017.03.007
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Citations
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Cited by:
- Damiaan H. J. Chen & Sweder J. G. Wijnbergen, 2020.
"Redistributive Consequences of Abolishing Uniform Contribution Policies in Pension Funds,"
De Economist, Springer, vol. 168(3), pages 305-341, September.
- Damiaan Chen & Sweder (S.J.G.) van Wijnbergen, 2017. "Redistributive Consequences of Abolishing Uniform Contribution Policies in Pension Funds," Tinbergen Institute Discussion Papers 17-114/VI, Tinbergen Institute.
- van Wijnbergen, Sweder & Chen, Damiaan, 2017. "Redistributive Consequences of Abolishing Uniform Contribution Policies in Pension Funds," CEPR Discussion Papers 12497, C.E.P.R. Discussion Papers.
- Damiaan H. J. Chen & Sweder J. G. Wijnbergen, 2020.
"Redistributive Consequences of Abolishing Uniform Contribution Policies in Pension Funds,"
De Economist, Springer, vol. 168(3), pages 305-341, September.
- Damiaan Chen & Sweder (S.J.G.) van Wijnbergen, 2017. "Redistributive Consequences of Abolishing Uniform Contribution Policies in Pension Funds," Tinbergen Institute Discussion Papers 17-114/VI, Tinbergen Institute.
- Damiaan Chen & Sweder van Wijnbergen, 2019. "Redistributive Consequences of Abolishing Uniform Contribution Policies in Pension Funds," DNB Working Papers 641, Netherlands Central Bank, Research Department.
- 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.
- 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.
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More about this item
Keywords
Defined-benefit; Collective defined-contribution and hybrid pension funds; Participation decision; Contribution; Option; Least Squares Monte Carlo method; Explicit finite difference method; Sustainability;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- J32 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs - - - Nonwage Labor Costs and Benefits; Retirement Plans; Private Pensions
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