In the context of the decumulation phase of a defined benefit pension scheme, the aim of this paper is to calculate the maximum benefit in terms of constant rate of a retirement annuity which allows pension providers to achieve a default probability in line with solvency requirements. We analyze the issue under demographic and financial stochastic risks with a Monte-Carlo simulation approach.
An "equilibrium" model for defined benefitpension schemes in a stochastic scenario / I.Colivicchi; G.Piscopo; E.Vannucci. - ELETTRONICO. - (2011), pp. 0-0. (Intervento presentato al convegno International Conference ASMDA 2011 tenutosi a Rome).
An "equilibrium" model for defined benefitpension schemes in a stochastic scenario
COLIVICCHI, ILARIA;
2011
Abstract
In the context of the decumulation phase of a defined benefit pension scheme, the aim of this paper is to calculate the maximum benefit in terms of constant rate of a retirement annuity which allows pension providers to achieve a default probability in line with solvency requirements. We analyze the issue under demographic and financial stochastic risks with a Monte-Carlo simulation approach.
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