On Valuation and Investments of Pension Plans in Discrete Incomplete Markets
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DOI: 10.3390/risks11060103
Abstract: We study the valuation of a pension fund’s obligations in a discrete time and space incomplete market model. The market’s incompleteness stems from the non-replicability of the wage process that finances the pension plan through… read more here.
Keywords: super hedging; valuation; pension; valuation investments ... See more keywords