Abstract
ABSTRACTIn this paper we address the problem of valuing (corporate) pension plans, and in particular defined contribution based pension plans. Several pension plans are proposed, both with and without rate of return guarantees. Both maturity and annual guarantees are considered. Emphasis is also given to the risk management of pension plans.To tie the analysis closer to real-world problems, we allow for both periodic premium and pension payments and mortality risk to be taken into account. Some new results on forward-start guarantees are also derived.
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