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Market Valuation, Pension Fund Policy and Contribution Volatility

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Listed:
  • Maarten Rooij
  • Arjen Siegmann
  • Peter Vlaar

Abstract

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Suggested Citation

  • Maarten Rooij & Arjen Siegmann & Peter Vlaar, 2008. "Market Valuation, Pension Fund Policy and Contribution Volatility," De Economist, Springer, vol. 156(1), pages 73-93, March.
    • Handle: RePEc:kap:decono:v:156:y:2008:i:1:p:73-93
    DOI: 10.1007/s10645-007-9083-9
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    References listed on IDEAS

    as
    1. van Rooij, Maarten C.J. & Kool, Clemens J.M. & Prast, Henriette M., 2007. "Risk-return preferences in the pension domain: Are people able to choose?," Journal of Public Economics, Elsevier, vol. 91(3-4), pages 701-722, April.
    2. P. J. A. Els & M. C. J. Rooij & M. E. J. Schuit, 2007. "Why mandatory retirement saving?," Springer Books, in: Onno Steenbeek & Fieke Lecq (ed.), Costs and Benefits of Collective Pension Systems, chapter 9, pages 159-186, Springer.
    3. Jacob A. Bikker & Peter J.G. Vlaar, 2006. "Conditional Indexation in Defined Benefit Pension Plans," DNB Working Papers 086, Netherlands Central Bank, Research Department.
    4. Peter Vlaar, 2005. "Defined Benefit Pension Plans and Regulation," DNB Working Papers 063, Netherlands Central Bank, Research Department.
    5. Peter Vlaar, 2007. "Term Structure Modeling for Pension Funds:What to do in Practice?," DNB Working Papers 123, Netherlands Central Bank, Research Department.
    6. de Jong, Frank, 2008. "Pension fund investments and the valuation of liabilities under conditional indexation," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 1-13, February.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Dirk Broeders & Paul Hilbers & David Rijsbergen & Ningli Shen, 2014. "What Drives Pension Indexation in Turbulent Times? An Empirical Examination of Dutch Pension Funds," De Economist, Springer, vol. 162(1), pages 41-70, March.

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    More about this item

    Keywords

    asset and liability management; conditional indexation; defined benefit pension funds; fair value versus actuarial discounting; Monte Carlo simulation; pension liabilities; G23; C15; C59; J18;
    All these keywords.

    JEL classification:

    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C59 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Other
    • J18 - Labor and Demographic Economics - - Demographic Economics - - - Public Policy

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