Abstract
The theme of this dissertation is to investigate how financial risks can be allocated in a multi-agent and multi-period setting under the economic principle of “Pareto efficiency and financial fairness” (PEFF). The dissertation is a combination of theory and practice and consists of three papers. In the first paper, the existence and uniqueness of the PEFF solution, which combines risk preferences with risk-neutral valuation, is established theoretically. This PEFF approach is adapted into a moving-horizon approach in the second paper, and is then applied to calculate how investment risks can be allocated between current and future benefit payments for a collective pension fund within a realistic ALM framework. The last paper of the trilogy extends the results further by incorporating risk preferences on an individual level.
Original language | English |
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Qualification | Doctor of Philosophy |
Awarding Institution |
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Supervisors/Advisors |
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Award date | 20 Dec 2016 |
Place of Publication | Tilburg |
Publisher | |
Print ISBNs | 9789056685010 |
Publication status | Published - 2016 |