Sustainability of participation in collective pension schemes: An option pricing approach

Damiaan H. J. Chen, Roel M. W. J. Beetsma, Dirk W. G. A. Broeders, Antoon A. J. Pelsser

Research output: Contribution to journalArticleAcademicpeer-review

Original languageEnglish
Pages (from-to)182-196
JournalInsurance: Mathematics and Economics
Volume74
DOIs
Publication statusPublished - May 2017

Keywords

  • Defined-benefit
  • Collective defined-contribution and hybrid pension funds
  • Participation decision
  • Contribution
  • Option
  • Least Squares Monte Carlo method
  • Explicit finite difference method
  • Sustainability

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