×

zbMATH — the first resource for mathematics

Performance measurement of pension strategies: a case study of Danish life-cycle products. (English) Zbl 1279.91096
Editorial remark: This article is identical with the authors’ paper [ibid. 2012, No. 4, 258–277 (2012; Zbl 1279.91095)].

MSC:
91B30 Risk theory, insurance (MSC2010)
91B74 Economic models of real-world systems (e.g., electricity markets, etc.)
62P05 Applications of statistics to actuarial sciences and financial mathematics
Software:
QRM
PDF BibTeX XML Cite
Full Text: DOI
References:
[1] DOI: 10.1093/rfs/14.2.371
[2] DOI: 10.1093/0199271267.001.0001 · Zbl 1140.91038
[3] DOI: 10.1086/260062 · Zbl 1092.91524
[4] DOI: 10.1016/0304-405X(79)90016-3 · Zbl 1131.91330
[5] DOI: 10.1080/03461230802173608 · Zbl 1224.91048
[6] DOI: 10.1016/S0167-6687(99)00060-8 · Zbl 0963.91064
[7] DOI: 10.1111/1540-6261.00471
[8] DOI: 10.1080/03461230701795873 · Zbl 1224.91054
[9] Dimson E., Triumph of the optimist: 101 years of global investment returns (2002)
[10] DOI: 10.1080/03461230902815736 · Zbl 1224.91178
[11] Dubins L. E., Inequalities for stochastic processes; How to gamble if you must (1965) · Zbl 0133.41402
[12] Giordano G., Scandinavian Actuarial Journal
[13] DOI: 10.1016/j.insmatheco.2005.06.014 · Zbl 1159.91405
[14] DOI: 10.1016/S0167-6687(00)00077-9 · Zbl 0976.91039
[15] DOI: 10.2307/1912196 · Zbl 0205.48902
[16] DOI: 10.1016/j.insmatheco.2007.06.007 · Zbl 1152.91587
[17] Horneff , W. J. , Mauer , R. H. , Mitchell , O. S. Stamos , M. Z. 2007 . Money in motion: dynamic portfolio choice in retirement . Research Working Paper No. 12942, National Bureau of Economic Research .
[18] Hull J. C., Options, futures, and other derivatives, 7. ed. (2008) · Zbl 1087.91025
[19] DOI: 10.1080/03461230802079193 · Zbl 1224.91064
[20] Jørgensen P. L., Finans/Invest 6 pp 16– (2002)
[21] DOI: 10.1016/j.insmatheco.2006.07.005 · Zbl 1183.91072
[22] Konicz , A. K. 2010 . Performance measurement of empirical and theoretical pension investment strategies . Thesis, University of Copenhagen .
[23] DOI: 10.1080/03461230801979765 · Zbl 1224.91076
[24] McNeil A. J., Quantitative risk management. Concepts, techniques and tools (2005) · Zbl 1089.91037
[25] DOI: 10.1016/j.jfineco.2010.01.004
[26] DOI: 10.1016/j.insmatheco.2007.09.007 · Zbl 1140.91425
[27] DOI: 10.1016/j.insmatheco.2007.10.011 · Zbl 1141.91539
[28] DOI: 10.1093/rfs/hhn014
[29] Poterba , J. , Rauh , J. , Venti , S. Wise , D. 2006 . Lifecycle asset allocations strategies and the distribution of 401(k) retirement wealth . Working Paper No. 11974, National Bureau of Economics Research .
[30] DOI: 10.2307/1926559
[31] DOI: 10.1080/03461230802079227 · Zbl 05855831
[32] DOI: 10.1017/S1474747205002398
[33] DOI: 10.1016/S0167-6687(02)00127-0 · Zbl 1013.62103
[34] DOI: 10.2143/AST.36.1.2014151 · Zbl 1162.91437
[35] Steffensen M., Scandinavian Actuarial Journal 1 pp 1– (2008)
[36] DOI: 10.1016/S0304-4076(03)00112-X · Zbl 1049.91087
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.