Hybrid Pension Schemes: Risk Allocation and Asset Liability Optimization - Roger Baumann - Knjige - Suedwestdeutscher Verlag fuer Hochschuls - 9783838101415 - 19. novembra 2008
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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.

Medij Knjige     Paperback Book   (Knjiga z mehkimi platnicami in lepljenim hrbtom)
Izdano 19. novembra 2008
ISBN13 9783838101415
Založniki Suedwestdeutscher Verlag fuer Hochschuls
Strani 176
Dimenzije 150 × 220 × 10 mm   ·   280 g
Jezik Nemščina  

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