Hybrid Pension Schemes: Risk Allocation and Asset Liability Optimization - Roger Baumann - Books - Suedwestdeutscher Verlag fuer Hochschuls - 9783838101415 - November 19, 2008
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Roger Baumann
Hybrid Pension Schemes: Risk Allocation and Asset Liability Optimization

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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.

Media Books     Paperback Book   (Book with soft cover and glued back)
Released November 19, 2008
ISBN13 9783838101415
Publishers Suedwestdeutscher Verlag fuer Hochschuls
Pages 176
Dimensions 150 × 220 × 10 mm   ·   280 g
Language German  

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