Hybrid Pension Schemes
Risk Allocation and Asset Liability Optimization
978-3-8381-0141-5
3838101413
176
2008-11-04
79,90 €
ger
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The thesis' focus is on risks aspects evolving from a defined contribution pension plan including a guarantee (or quasi-guarantee). In general the guarantee is assumed to be higher than the riskless yield. From this incomplete market setting evolves a non-hedgeable shortfall risk. The thesis considers in different continuous-time settings the risk allocation between the plan sponsor and the employee and analyzes the investment strategy of the plan sponsor.
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