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Beschreibung
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.
Risk Allocation and Asset Liability Optimization
Details
| Verlag | Südwestdeutscher Verlag für Hochschulschriften |
| Ersterscheinung | 04. November 2008 |
| Maße | 22 cm x 15 cm x 1.2 cm |
| Gewicht | 280 Gramm |
| Format | Softcover |
| ISBN-13 | 9783838101415 |
| Seiten | 176 |
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