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.
|Number of pages||36|
|Publication status||Published - 24 Nov 2011|
|Event||Macao International Symposium on Accounting and Finance 2011 - Macao, China|
Duration: 24 Nov 2011 → 24 Nov 2011
|Conference||Macao International Symposium on Accounting and Finance 2011|
|Period||24/11/11 → 24/11/11|
|Other||24 November 2011|