Guaranteeing benefits in generational pension plans

Xiaohong Huang, Ronald Mahieu

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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
Number of pages36
Publication statusPublished - 24 Nov 2011
EventMacao International Symposium on Accounting and Finance 2011 - Macao, China
Duration: 24 Nov 201124 Nov 2011


ConferenceMacao International Symposium on Accounting and Finance 2011
Other24 November 2011


  • METIS-284057
  • IR-99696


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