Stochastic Methods for Pension Funds

Devolder, Pierre; Janssen, Jacques; Manca, Raimondo

doi:10.1002/9781118562031

Cited by 18 publications

(14 citation statements)

References 0 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The payment of funds may be supported by the possibility of accurately estimating future entitlements with regard to the retirement age limit. Devolder et al (2013) also highlight differences in investment strategies with defined benefit as well as defined contribution pension plans. According to the authors, the risk of higher volatility is particularly associated within defined contribution pension schemes.…”

Section: Theoretical Backgroundmentioning

confidence: 99%

The Impact of Stocks and Bonds on Pension Fund Performance

Chovancová¹,

Hudcovský²,

Kotásková³

2019

JOC

View full text Add to dashboard Cite

Stocks and bonds represent the two most common assets in pension fund portfolios. For both pension fund participators as well as pension fund administrators it is necessary to examine the impact of stock and bond markets on the pension fund. This paper investigates the connection between stock, and, respectively bond market and pension funds. The relationship between the pension market and representative stock and bond market indexes was confronted. Research data based on pension statistics from the Organisation for Economic Cooperation and Development were included in our research. A stronger impact was shown of the bond market on pension fund performance. The paper is divided into 5 chapters. In the first chapter, we introduce theoretical approaches along with essential knowledge in terms of a deeper analysis of research problems. The second chapter focuses on a literature review, with the third detailing the methods and methodology of research. The fourth chapter focuses primarily on achieving and interpreting the results of research in the context of the set objectives. In the fifth chapter, the achieved results are aggregated in the form of particular recommendations formulated after studying the issue.

show abstract

Section: Theoretical Backgroundmentioning

confidence: 99%

The Impact of Stocks and Bonds on Pension Fund Performance

Chovancová¹,

Hudcovský²,

Kotásková³

2019

JOC

View full text Add to dashboard Cite

show abstract

“…In a DC plan, contributions are explicitly defined beforehand and benefits are generated solely from the accumulation of these contributions and the fund's investment returns. For this kind of plans, contributors constitute the only risk taker (Devolder et al [1]). Due to the expenses and long-term obligations associated with running a DB plan, more and more employers are replacing DB plans with DC plans.…”

Section: Introductionmentioning

confidence: 99%

Nash Equilibrium Strategy for a DC Pension Plan with State-Dependent Risk Aversion: A Multiperiod Mean-Variance Framework

Wang

Chen

2018

Discrete Dynamics in Nature and Society

View full text Add to dashboard Cite

This paper investigates a defined contribution (DC) pension plan investment problem during the accumulation phase under the multiperiod mean-variance criterion. Different from most studies in the literature, where the investor's risk aversion attitude is state-independent, we choose a state-dependent risk aversion parameter, which is a fractional function of the current wealth level. Moreover, we incorporate the wage income factor into our model, which leads to a more complicated problem than the portfolio selection problems that appeared in relevant papers. Due to the time inconsistency of the resulting problem, we derive the explicit expressions for the equilibrium strategy and the corresponding equilibrium value function by adopting the game theoretic framework and using the extended Bellman equation. Further, two special cases are discussed. Finally, based on real data from the American market, some prominent features of the equilibrium strategy established in our theoretical derivations are provided by comparing them with the results in the existing literature.Hindawi

show abstract

“…For a general view of NDCs, see for example the papers by Auerbach & Lee (2011), Ch loń-Domińczak et al (2012) and Holzmann et al (2012). The actuarial aspects can be consulted in Devolder et al (2012).…”

Section: Conclusion Discussion and Future Researchmentioning

confidence: 99%

Life Care Annuities (Lca) Embedded in a Notional Defined Contribution (Ndc) Framework

Pla-Porcel¹,

Ventura-Marco²,

Vidal‐Meliá

2016

ASTIN Bull.

View full text Add to dashboard Cite

This paper examines the possibility of embedding public long-term care (LTC) insurance within the retirement pension system, i.e. introducing life care annuities into a notional defined contribution framework. To do this, we develop a multistate overlapping generations model that includes the so-called survivor dividend and give special attention to the assumptions made about mortality rates for dependent persons and LTC incidence rates, which largely determine the contribution rate assigned to LTC. The proposed model could be of interest to policymakers because it could be implemented without too much difficulty, it would universalize LTC coverage with a "fixed" cost, and it would discourage politicians from making promises about future LTC benefits without the necessary funding support.

show abstract

Stochastic Methods for Pension Funds

Cited by 18 publications

References 0 publications

The Impact of Stocks and Bonds on Pension Fund Performance

The Impact of Stocks and Bonds on Pension Fund Performance

Nash Equilibrium Strategy for a DC Pension Plan with State-Dependent Risk Aversion: A Multiperiod Mean-Variance Framework

Life Care Annuities (Lca) Embedded in a Notional Defined Contribution (Ndc) Framework

Contact Info

Product

Resources

About