Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase

By David P. Blake, Andrew J. G. Cairns, Kevin Dowd. 2001

183 citations recorded by the source corpus.

Subfields: Accounting, Demography, General Health Professions

View Paper: https://www.semanticscholar.org/paper/d6a16b7a24cf53b9be332fb7a12960c6310b5554

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Jian-wei Gao
2. Kevin Dowd
3. Elena Vigna

In Demography

1. Jian-wei Gao
2. Kevin Dowd
3. Elena Vigna
4. Andrew J. G. Cairns
5. Guohui Guan
6. Zongxia Liang
7. Zhongfei Li
8. David P. Blake

In General Health Professions

1. Jian-wei Gao
2. Kevin Dowd
3. Andrew J. G. Cairns
4. David P. Blake
5. Elena Vigna

Citations in the corpus

• An introduction to market risk measurement (2002, background): “These issues are explored in more detail in Blake et al. (2001b) and Milevsky (1998). 27As viewed from the time when the scheme is first set up, this means that the pension is subject to a number of sources of risk — leaving aside retirement age and contribution rate risks, there are also risks aris”
• Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model (2009, background): “The financial risk in DC schemes in the accumulation phase is considered, among others, by Blake et al. (2001), Booth and Yakoubov (2000), Boulier et al. (2001), Haberman and Vigna (2002), Deelstra et al. (2004).”