Optimal Design of the Attribution of Pension Fund Performance to Employees

The article analyzes risk sharing in a defined contribution pension fund in continuous time. According to a prespecified attribution scheme, the interest rate paid on the employees' accounts is a linear function of the fund's investment performance. For each attribution scheme, the pension...

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Veröffentlicht in:	The Journal of risk and insurance 2014-06, Vol.81 (2), p.431-468
Hauptverfasser:	Müller, Heinz, Schiess, David
Format:	Artikel
Sprache:	eng
Schlagworte:	Analysis Business risks Defined contribution plans Economic models Employee pension plans Employees Expected utility Financial investments Funding Indifference curves Interest rates Investment funds Investment risk Investment strategies Investments Management Pension funds Risk aversion Risk sharing Structural optimization
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