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Pricing of Guaranteed Products for Defined Benefit Pension Funds

Pricing of Guaranteed Products for Defined Benefit Pension Funds This paper discusses mathematical modeling and pricing of 'Stable Value' financial products offered to pension plan ...
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Description: This paper discusses mathematical modeling and pricing of 'Stable Value' financial products offered to pension plan providers. These products target a risk-averse population of investors who have a significant preference for a stability of returns. The paper offers a quantitative methodology that reflects a decision making process applicable in the situation of incomplete markets where traditional arbitrage free arguments are invalid.
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- Authors: Mark Saxonov
- Date: Jan 2006
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Pensions & Retirement>Pension investments & asset liability management

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Pricing of Guaranteed Products for Defined Benefit Pension Funds