Guaranteeing benefits in generational pension plans

Xiaohong Huang, Ronald Mahieu

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Abstract

In this paper we analyze the possibilities of intergenerational risk sharing in a generational DB pension fund. Each generation is subject to discretionary investment, indexation and contribution policies, thereby losing intergenerational diversification gains. Intergenerational risk sharing is repaired by introducing contingent claims on the generational surplus or deficit. We find that in some circumstances the values of these options can be substantial.
Original languageEnglish
Pages-
Number of pages36
Publication statusPublished - 24 Nov 2011

Keywords

  • METIS-284057
  • IR-99696

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