Performance measurement of pension strategies: a case study of Danish life cycle products

References

• Basak , S. and Shapiro , A. 2001 . Value-at-risk-based risk management: optimal policies and asset prices . The Review of Financial Studies , 14 ( 2 ) : 371 – 405 .
   Web of Science ®Google Scholar
• Bjork , T. 2004 . Arbitrage theory in continuous time . Oxford : Oxford University Press .
   Google Scholar
• Black , F. and Scholes , M. 1973 . The pricing of options and corporate liabilities . Journal of Political Economy , 81 : 659 – 683 .
   Web of Science ®Google Scholar
• Breeden , D. T. 1979 . An intertemporal asset pricing model with stochastic consumption and investment opportunities . Journal of Financial Econometrics , 7 ( 3 ) : 265 – 296 .
   Web of Science ®Google Scholar
• Cairns , A. J. G. , Blake , D. and Dowd , K. 2008 . Modelling and management of mortality risk: a review . Scandinavian Actuarial Journal , 3 ( 2 ) : 79 – 113 .
   Google Scholar
• Chamorro , J. M. 2000 . Mutual fund evaluation: a portfolio insurance approach. A heuristic application in Spain . Insurance: Mathematics and Economics , 27 : 83 – 104 .
   Web of Science ®Google Scholar
• Constantinides , G. 2002 . Presidential address: rational asset prices . Journal of Finance , 4 ( 57 ) : 1567 – 1591 .
   Web of Science ®Google Scholar
• Dahl , M. , Melchior , M. and Møller , T. 2008 . On systematic mortality risk and risk-minimization with survivor swaps . Scandinavian Actuarial Journal , 2&3 : 114 – 146 .
   Web of Science ®Google Scholar
• Dimson , E. , Marsh P. & Staunton , M. 2002 . Triumph of the Optimist: 101 years of global investment returns . Princeton , NJ : Princeton University Press .
   Google Scholar
• Djehiche , B. & Rinné , J. 2010 . Can stocks help mend the asset and liability mismatch? Scandinavian Actuarial Journal 110 148 160
   Web of Science ®Google Scholar
• Dubins , L. E. and Savage , L. J. 1965 . Inequalities for stochastic processes; How to gamble if you must , New York : Dover .
   Google Scholar
• Giordano , G. , Haberman , S. & Russolillo , M. 2010 . Extending the Lee-Carter model: a three-way decomposition . Scandinavian Actuarial Journal (forthcoming) .
   Web of Science ®Google Scholar
• Guillén , M. , Jørgensen , P. L. and Nielsen , J. P. 2006 . Return smoothing mechanisms in life and pension insurance . Insurance: Mathematics and Economics , 38 : 229 – 252 .
   Web of Science ®Google Scholar
• Haberman , S. and Vigna , E. 2001 . Optimal investment strategy for defined contribution pension schemes . Insurance: Mathematics and Economics , 28 : 233 – 262 .
   Web of Science ®Google Scholar
• Hakansson , N. H. 1970 . Optimal investment and consumption strategies under risk for a class of utility functions . Econometrica , 38 ( 5 ) : 587 – 607 .
   Web of Science ®Google Scholar
• Hoevenaars , R. P. M. M. and Ponds , E. H. M. 2008 . Valuation of intergenerational transfers in funded collective pension schemes . Insurance: Mathematics and Economics , 42 ( 2 ) : 578 – 593 .
   Web of Science ®Google Scholar
• Horneff , W. J. , Mauer , R. H. , Mitchell , O. S. & Stamos , M. Z. 2007 . Money in motion: dynamic portfolio choice in retirement . National Bureau of Economic Research, Research Working Paper Number 12942 .
   Google Scholar
• Hull , J. C. 2008 . Options, futures, and other derivatives , (7th ed) Prentice Hall Upper Saddle River , NJ
   Google Scholar
• Jarner , S. F. , Kryger , E. M. and Dengsøe , C. 2008 . The evolution of death rates and life expectancy in Denmark . Scandinavian Actuarial Journal , 2&3 : 147 – 173 .
   Web of Science ®Google Scholar
• Jørgensen , P. L. and Nielsen , J. P. 2002 . Time Pension . Finans/Invest , 6 : 16 – 21 .
   Google Scholar
• Kleinow , T. and Willder , M. 2007 . The effect of management discretion on hedging and fair valuation of participating policies with maturity guarantees . Insurance: Mathematics and Economics , 40 ( 3 ) : 445 – 458 .
   Web of Science ®Google Scholar
• Konicz , A. K. 2010 . Performance measurement of empirical and theoretical pension investment strategies . University of Copenhagen, MA Thesis .
   Google Scholar
• Mäkinen , M. 2008 . Reference mortality K2004 of personal life insurance policies in Finland . Scandinavian Actuarial Journal , 2&3 : 174 – 183 .
   Web of Science ®Google Scholar
• McNeil , A. J. , Frey R. & Embrechts , P. 2005 . Quantitative risk management. Concepts, techniques and tools . Princeton , NJ : Princeton University Press
   Google Scholar
• Munk , C. & Sørensen , C. 2010 . Dynamic asset allocation with stochastic income and interest rates . Journal of Financial Economics 96 433 462 .
   Web of Science ®Google Scholar
• Nielsen , P. H. and Steffensen , M. 2008 . Optimal investment and life insurance strategies under minimum and maximum constraints . Insurance: Mathematics and Economics , 43 ( 1 ) : 15 – 28 .
   Web of Science ®Google Scholar
• Nordahl , H. A. 2008 . Valuation of life insurance surrender and exchange options . Insurance: Mathematics and Economics , 42 ( 3 ) : 909 – 919 .
   Web of Science ®Google Scholar
• Poterba , J. , Rauh , J. , Venti , S. & Wise , D. 2006 . Lifecycle asset allocations strategies and the distribution of 401(k) retirement wealth . National Bureau of Economics Research, Working Paper Number 11974 .
   Google Scholar
• Phalippou , L. and Gottschalg , O. 2009 . The performance of private equity funds . The Review of Financial Studies , 22 ( 4 ) : 1747 – 1776 .
   Web of Science ®Google Scholar
• Samuelson , P. 1969 . Lifetime portfolio selection by dynamic stochastic programming . Review of Economics and Statistics , 51 : 239 – 246 .
   Web of Science ®Google Scholar
• Samuelsson , E. 2008 . Mortality among Swedish insured . Scandinavian Actuarial Journal , 2&3 : 184 – 199 .
   Web of Science ®Google Scholar
• Siegmann , A. 2007 . Optimal investment policies for defined benefit pension funds . Journal of Pension Economic and Finance , 6 ( 1 ) : 1 – 20 .
   Google Scholar
• Steffensen , M. 2002 . Intervention options in life insurance . Insurance: Mathematics and Economics , 31 ( 1 ) : 71 – 85 .
   Web of Science ®Google Scholar
• Steffensen , M. 2006 . Quadratic optimization of life insurance payment and pension insurance payments . Astin Bulletin , 36 ( 1 ) : 245 – 267 .
   Web of Science ®Google Scholar
• Steffensen , M. and Waldstrøm , S. 2008 . A two-account model for pension saving contracts . Scandinavian Actuarial Journal , 1 : 1 – 18 .
   Google Scholar
• Stutzer , M. 2003 . Portfolio choice with endogenous utility: a large deviations approach . Journal of Econometrics , 116 : 365 – 386 .
   Web of Science ®Google Scholar