| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5077231 | Insurance: Mathematics and Economics | 2011 | 18 Pages |
Abstract
⺠We analyse return guarantees relative to investors' contributions needed to finance the guarantee. ⺠Three types of pension investment schemes are considered. ⺠The evaluation of each scheme involves pricing an Asian option. ⺠Relatively tight upper and lower bounds can be calculated in a numerically efficient manner. ⺠We draw a number of conclusions pertinent to the design of equity-linked pension schemes.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
J. Aase Nielsen, Klaus Sandmann, Erik Schlögl,