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Hybrid Pension Schemes: Risk Allocation and Asset Liability Optimization
Roger Baumann
Hybrid Pension Schemes: Risk Allocation and Asset Liability Optimization
Roger Baumann
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.
Mídia | Livros Paperback Book (Livro de capa flexível e brochura) |
Lançado | 19 de novembro de 2008 |
ISBN13 | 9783838101415 |
Editoras | Suedwestdeutscher Verlag fuer Hochschuls |
Páginas | 176 |
Dimensões | 280 g |
Idioma | German |
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