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A New Theoretical Approach to Pension Fund Economics, Asset Management and Insurance - DP130104074

Funding: 2013: $95,000
2014: $80,000
2015: $95,000

Project Member(s): Platen, E., Schlogl, E.

Funding or Partner Organisation: Australian Research Council (ARC Discovery Projects)

Start year: 2013

Summary: The project will provide a groundbreaking approach to the pricing and hedging of long dated contracts, as typical for pensions, insurance policies and variable annuities. A paradigm shift is proposed, which allows the design of sustainable pension schemes, significantly less expensive to create than is possible under current paradigms. Based on recent theoretical insights under Platen's benchmark approach, drawdown constrained portfolios will be constructed with maximum long term growth rate. A new theoretical level of understanding for risk and asset management in pension schemes will be reached that produces significantly increased retirement benefits.

Publications:

Du, K & Platen, E 2016, 'Benchmarked Risk Minimization', Mathematical Finance, vol. 26, no. 3, pp. 617-637.
View/Download from: UTS OPUS or Publisher's site

Keywords: quantitative finance,funding annuities,pension-fund economics

FOR Codes: Investment and Risk Management, Superannuation and Insurance Services