Pension fund investments and the valuation of liabilities under conditional indexation

Research output: Contribution to journalArticleScientificpeer-review

Abstract

This paper reviews the investment policy of collective pension plans. We focus on funds with a collective Defined Contribution character. We suggest two reasons to invest in equities: the lack of a well-developed market in index-linked bonds, and deliberate deviations from the Defined Benefit nature of the plan. Furthermore, this paper assesses the value of limited or conditional indexation options found in many plans.
Original languageEnglish
Pages (from-to)1-13
JournalInsurance: Mathematics & Economics
Volume42
Issue number1
Publication statusPublished - 2008

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Valuation
Equity
Deviation
Liability
Defined contribution
Pension plans
Pension funds
Investment policy
Indexation
Defined benefit
Review
Market
Policy
Character

Cite this

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title = "Pension fund investments and the valuation of liabilities under conditional indexation",
abstract = "This paper reviews the investment policy of collective pension plans. We focus on funds with a collective Defined Contribution character. We suggest two reasons to invest in equities: the lack of a well-developed market in index-linked bonds, and deliberate deviations from the Defined Benefit nature of the plan. Furthermore, this paper assesses the value of limited or conditional indexation options found in many plans.",
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Pension fund investments and the valuation of liabilities under conditional indexation. / de Jong, F.C.J.M.

In: Insurance: Mathematics & Economics, Vol. 42, No. 1, 2008, p. 1-13.

Research output: Contribution to journalArticleScientificpeer-review

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