The Pension Challenge: Risk Transfers and Retirement Income Security

By Olivia S. Mitchell; Kent Smetters | Go to book overview

References

Aase, Knut K. 2001. “A Markov Model for the Pricing of Catastrophe Insurance Futures and Spreads.” The Journal of Risk and Insurance 68(1): 25-49.

Benz, Matthew. 2001. “Bowie Bonds: One-off or a Sound Vision for the Future.” BillBoard Magazine June 20.

Blake, David and Williams Burrows. 2001. “Survivor Bonds: Helping to Hedge Mortality Risk.” The Journal of Risk and Insurance 68(2): 339-348.

Bowers, William C. 2002. “Aircraft Lease Securitization: ALPS to EETCs.” .

Cantor, Michael S., Joseph B. Cole, and Richard L. Sandor. 1996. “Insurance Derivatives: A New Asset Class for the Capital Markets and a New Hedging Tool for the Insurance Industry.” The Journal of Derivatives Winter: 89-104.

Cummins, J. David, David Lalonde, and Richard D. Phillips. 2002a. “Managing Risk Using Index-Linked Catastrophic Loss Securities.” In Alternative Risk Strategies, ed. Morton Lane. London: Risk Books.

—— —— —— 2002b. “The Basis Risk of Index-Linked Catastrophic Loss Securities.” Working Paper. Philadelphia: Wharton Financial Institutions Center.

—— Christopher M. Lewis and Richard D. Phillips. 1998. “The Pricing of Excess-of-Loss Reinsurance Contracts Against Catastrophic Loss.” In The Financing of Property/Casualty Risk, ed. Kenneth Froot. National Bureau of Economic Research, University of Chicago Press, pp. 93-148.

Das, Satyajit. 1998. Credit Derivatives: Trading and Management of Credit and Default Risk. New York: John Wiley & Son.

Doherty, Neil A. 1997. “Financial Innovation in the Management of Catastrophe Risk.” Journal of Applied Corporate Finance 10: 84-95.

Dong, Weimin, Haresh Shah, and Felix Wong. 1996. “A Rational Approach to Pricing Catastrophe Insurance.” Journal of Risk and Uncertainty 12: 201-219.

Fink, Laurence D. 1998. “The Role of Pension Funds and Other Investors in Securitized Debt Markets.” In A Primer on Securitization, eds. Leon T. Kendall and Michael J. Fishman. MIT Press, pp. 117-127.

Hu, Joseph, Patrick Coyne, and Jay Elengical. 2002. “Commentary: Rating Transitions 2001: U.S. ABS Credit Ratings Endure the Test of Recession.” Standard & Poor's. .

Kao, Duen-Li. 2000. “Estimating and Pricing Credit Risk: An Overview.” Financial Analysts Journal July/August: 50-66.

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The Pension Challenge: Risk Transfers and Retirement Income Security
Table of contents

Table of contents

  • The Pension Challenge iii
  • Preface v
  • Contents vii
  • Figures ix
  • Tables xi
  • Notes on Contributors xv
  • Abbreviations xix
  • References 13
  • Part I Plan Sponsors and Retirement Income Risk 17
  • References 32
  • References 67
  • References 88
  • References 101
  • References 115
  • Appendix 151
  • References 153
  • Part II Global Developments in Retirement Risk Transfer 157
  • Appendix: An Illustration of Option-Pricing Techniques Applied to Individual Accounts 177
  • References 185
  • Appendix 209
  • References 212
  • Appendix 234
  • References 249
  • References 266
  • References 307
  • References 329
  • Index 331
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