A mathematical model for managing equity-linked pensions
| dc.contributor.author | Julie, Elmerie | |
| dc.date.accessioned | 2025-08-28T08:48:45Z | |
| dc.date.available | 2025-08-28T08:48:45Z | |
| dc.date.issued | 2006 | |
| dc.description.abstract | Pension fund companies manage and invest large amounts of money on behalf of their members. In return for their contributions, members expect a benefit at termination of their contract. Due to the volatile nature of returns that pension funds attain, pension companies started attaching a minimum guaranteed amount to member's benefits. In this mini-thesis we look at the pioneering work of Brennan and Schwartz [10] for pricing these minimum guarantees. The model they developed prices these minimum guarantees using option pricing theory. We also look at the model proposed by Deelstra et al. [13] which prices minimum guarantees in stochastic financial setting. We conclude this mini-thesis with new contributions where we look at simple alternative ways of pricing minimum guarantees. We conclude this mini-thesis with an approach, related to the work of Brenan and Schwartz [10], whereby the member's benefit is maximised for a given minimum guaranteed amount, which comprises of multi-period guarantees. We formulate a method to find the optimal stream of these multi-period guarantees. | |
| dc.identifier.uri | https://hdl.handle.net/10566/20819 | |
| dc.language.iso | en | |
| dc.publisher | University of the Western Cape | |
| dc.subject | pension fund | |
| dc.subject | defined benefit | |
| dc.subject | defined contribution | |
| dc.subject | minimum guarantee | |
| dc.subject | maximum benefit | |
| dc.subject | return on investment | |
| dc.subject | sharing rule in pension funds | |
| dc.subject | call option | |
| dc.subject | put option | |
| dc.subject | Lagrangian | |
| dc.title | A mathematical model for managing equity-linked pensions | |
| dc.type | Thesis |