Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase

Insurance: Mathematics and Economics

Volumn 29, Issue 2, 2001, Pages 187-215

  Blake, David ^a   Cairns, Andrew J G ^b   Dowd, Kevin ^c  

^a UNIVERSITY OF LONDON   (United Kingdom)

^b HERIOT WATT UNIVERSITY   (United Kingdom)

^c NOTTINGHAM UNIVERSITY BUSINESS SCHOOL   (United Kingdom)

Author keywords

Asset allocation strategy; C15; D81; D91; Defined contribution pension plan; E27; G11; G23; Model risk; Value at risk

Indexed keywords

EID: 0010738855     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(01)00082-8     Document Type: Article

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