On Valuation and Investments of Pension Plans in Discrete Incomplete Markets
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 time. The contingent defined-benefit liability of the pension fund is a...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-06-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-9091/11/6/103 |