A problem-solving approach to pension funding and valuation, second edn, 1994. ,
Shortfall returns and shortfall risk, pp.87-110, 1993. ,
Actuaries pension funds and investment'. Institute of Actuaries, 1989. ,
Coherent risk measures in a dynamic framework, 2002. ,
Optimal asset allocation for pensiun funds under mortality risk during the accumulation and decumulation phases', HEC Geneve and FAME, 2003. ,
Pension fund governance and the choice between defined benefit and defined contribution plans, 2003. ,
Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation, SIAM Journal on Control and Optimization, vol.44, issue.5, 2004. ,
DOI : 10.1137/S0363012903437952
Pension schemes as options on pension fund assets: implications for pension fund management, Insurance: Mathematics and Economics, vol.23, issue.3, pp.263-286, 1998. ,
DOI : 10.1016/S0167-6687(98)00048-1
Portfolio choice models ofpension funds and life assurance companies : Similarities and differences', The Geneva Papers on, Risk and Insurance, vol.24, issue.3, pp.327-357, 1999. ,
DOI : 10.1111/1468-0440.00024
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.365.7699
The Impact of Occupation and Gender on Pensions from Defined Contribution Plans, The Geneva Papers on Risk and Insurance - Issues and Practice, vol.94, issue.56, 2004. ,
DOI : 10.1257/000282804322970832
A comparative evaluation of alternative models of the term structure of interest rates, European Journal of Operational Research, vol.93, issue.1, pp.671-708, 1994. ,
DOI : 10.1016/0377-2217(95)00108-5
Risk analysis in asset-liability management for pension fund, 2002. ,
fonds de retraite : quelle stratégie d'investissement ?, 1993. ,
Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund, Insurance: Mathematics and Economics, vol.28, issue.2, pp.173-189, 2001. ,
DOI : 10.1016/S0167-6687(00)00073-1
An introduction to stochastic pension plan modelling, Department of Actuarial Mathematics and Statistics, 1994. ,
Continuous-time pension-fund modelling, pp.14-18, 1996. ,
DOI : 10.1016/s0167-6687(97)00018-8
A multifactor model for the term structure and indication for long-term risk management with an extension to the equities market, 2000. ,
Interest-rate models. Prepared for the Encyclopaedia of Actuarial Science, 2003. ,
b), 'Pension-fund mathematics'. Prepared for the Encyclopaedia of Actuarial Science, 2003. ,
Pension Fund Mathematics ,
DOI : 10.1002/9780470012505.tap008
Optimal dynamic asset allocation for defined pension plans, 2000. ,
Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans, Journal of Economic Dynamics and Control, vol.30, issue.5, 2004. ,
DOI : 10.1016/j.jedc.2005.03.009
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.197.3022
Valuation and hedging of limited price indexed liabilities, pp.627-663, 2004. ,
On the control of defined-benefit pension plans, Insurance : Mathematics and Economics III, issue.10, pp.627-663, 2005. ,
A family of term-structure models with stochastic volatility, Actuarial Mathematics and Statistics, 2004. ,
Funded pension schemes for government workers : Proposal for study, Third OECD/INPRS Conference on Private Pensions in Asia', OECD, 2004. ,
Les systèmes de retraite en europè a l'´ epreuve des changements démographiques. Laurent Caussat et MichèleLelì evre font partie de la Direction de la recherche, desétudesdesétudes, de l'´ evaluation et des statistiques (Drees), 2004. ,
Les réformes des systèmes de retraite dans les pays d'europe du sud', ´ etudes et résultats, 2005. ,
Pension Valuation Under Uncertainties: Implementation of a Stochastic and Dynamic Monitoring System, Journal of Risk & Insurance, vol.69, issue.2, pp.171-192, 2002. ,
DOI : 10.1111/1539-6975.00013
Pricing interest rate options in a two-factor cox ingersoll ross model of the term structure', The review of financial studies, pp.613-636, 1992. ,
Life table for czech pension funds, 2002. ,
Privately managed pension provision, 2005. ,
An Intertemporal General Equilibrium Model of Asset Prices, Econometrica, vol.53, issue.2, pp.363-384, 1985. ,
DOI : 10.2307/1911241
A Theory of the Term Structure of Interest Rates, Econometrica, vol.53, issue.2, pp.385-407, 1985. ,
DOI : 10.2307/1911242
Currency risk models in insurance ; a mathematical perspective', General insurance convention and astin colloquium, 1998. ,
The european pension management industry', The Pensions Institute, Discussion Paper (0212). The PENSIONS INSTITUTE Birkbeck College, pp.7-15, 2002. ,
The european pension management industry. The PENSIONS INSTITUTE Birkbeck College, pp.7-15, 2002. ,
Optimal design of the guarantee for defined contribution funds, Journal of Economic Dynamics and Control, vol.28, issue.11, 2002. ,
DOI : 10.1016/j.jedc.2003.10.003
Stochastic optimal control of annuity contracts, Insurance: Mathematics and Economics, vol.33, issue.2, 2002. ,
DOI : 10.1016/S0167-6687(03)00136-7
Ias norms and pension funding : from level methods to unit credit valuation, 2006. ,
The annuity puzzle revisited : a deterministic version with lagrangian methods, 2004. ,
Management of a pension fund under mortality and financial risks, 2006. ,
The myth of index-linked bond duration an examination of the interest rate risk characteristics of index related securities', The quartelry journal of the institute of actuaries of australia, 1992. ,
Moments of pension contributions and fund levels when rates of return are random, Journal of the Institute of Actuaries, issue.115, pp.535-544, 1988. ,
Stability of pension systems when rates of return are random, Insurance: Mathematics and Economics, vol.8, issue.1, pp.71-76, 1989. ,
DOI : 10.1016/0167-6687(89)90049-8
The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding, Scandinavian Actuarial Journal, vol.15, issue.1, pp.39-79, 1990. ,
DOI : 10.1016/0304-4149(82)90050-3
Efficient Capital Markets: A Review of Theory and Empirical Work, Papers and Proceedings of 346 the Twenty-Eighth Annual Meeting of the American Finance Association, pp.383-417, 1969. ,
DOI : 10.2307/2325486
Filter Rules and Stock-Market Trading, The Journal of Business, vol.39, issue.S1, pp.226-241, 1966. ,
DOI : 10.1086/294849
Markovian term structure models in discrete time', The Annals of, Applied Probability, vol.12, issue.2, p.710729, 2002. ,
High volatility, thick tails and extreme value theory in value-at-risk estimation, Insurance: Mathematics and Economics, vol.33, issue.2, 2002. ,
DOI : 10.1016/j.insmatheco.2003.07.004
Pension funding with time delays, Insurance: Mathematics and Economics, vol.11, issue.3, pp.179-189, 1992. ,
DOI : 10.1016/0167-6687(92)90025-7
Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme, Insurance: Mathematics and Economics, vol.14, issue.3, pp.219-240, 1994. ,
DOI : 10.1016/0167-6687(94)90779-X
Investment choices post retirement in a defined contribution pension scheme, 2002. ,
Pension management in the context of corporate risk management', the journal of portfolio management pp, pp.72-78, 1989. ,
BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION, Econometrica, vol.60, pp.77-105, 1992. ,
DOI : 10.1142/9789812819222_0013
Les fonds de pension protègent-ils les investisseurs des ´ evolutions du marché ?', Cahier du FARGO (1060101). LEG FARGO Bibliographie Centre de recherche en Finance, 2004. ,
A simple model for valuing default swaps when both market and credit risk are correlated, 2001. ,
Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model, 2000. ,
DOI : 10.1142/9789812819222_0016
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.11.5002
Estimating default probabilities implicit in equity prices, 2001. ,
Allocation tactique d'actifs : ` a la recherche de valeur, 1996. ,
systemes de retraite : le processus de reforme dans les pays de l'ocde, documents de travail sur le vieillissement document de travail awp 3.4 f, Organisation de Coopération et de Développement Economiques, Préserver la prospérité dans une société vieillissante : le projet horizontal de l'O.C.D.E. sur les implications politiques du vieillissement, 1998. ,
Asset under shortfall constraints', The Journal Of Portfolio Management, 1991. ,
Asset performance and surplus control, The Journal of Portfolio Management, vol.18, issue.2, 1992. ,
DOI : 10.3905/jpm.1992.409395
Shortfall risk and the asset allocation decision, The Journal of Portfolio Management, vol.16, issue.1, 1989. ,
DOI : 10.3905/jpm.1989.409236
Lineare portfoliooptimierung mit target-shortfall-probability-vektor, 2000. ,
The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets, The Review of Economics and Statistics, vol.47, issue.1, pp.13-37, 1965. ,
DOI : 10.2307/1924119
Dc pension plans for all : what if ?, 2004. ,
PORTFOLIO SELECTION*, The Journal of Finance, vol.7, issue.1, pp.77-91, 1952. ,
DOI : 10.1111/j.1540-6261.1952.tb01525.x
The optimal allocation of pension risks in employment contracts, Research Report 272 Corporate Document Services 272, Department for Work and Pensions. A report of research carried out by Dr, 2005. ,
Mortality risk and real optimal asset allocation for pensiun funds', HEC Geneve and FAME, 2003. ,
Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases, 2006. ,
Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case, The Review of Economics and Statistics, vol.51, issue.3, pp.247-257, 1969. ,
DOI : 10.2307/1926560
Optimum consumption and portfolio rules in a Bibliographie continuous-time model, Journal of Economic Theory, vol.51, issue.3, pp.373-413, 1970. ,
Retraites dans le monde : des régimes peu nombreux et mal gérés, 2000. ,
The dynamics and control of pension funding, thesis submitted for the degree of doctor of philosophy, 1998. ,
Civil-service pension schemes around the world, Social Protection Discussion Paper : the World Bank, 2006. ,
Arbitrage-free pricing of interest-rate continfent claims, 1989. ,
Théorie et pratique de l'assurance vie, deuxieme edn, 1996. ,
Liberating workers : The world pension revolution', Cato's Letter (15), 2001. ,
Fonds de pensionàpensionà cotisations définies, 1997. ,
General equilibrium real and nominal interest rates, Journal of BankingFinance, issue.28, pp.1569-1595, 2004. ,
General equilibrium pricing of cpi derivatives, Journal of BankingFinance, issue.29, pp.1265-1294, 2005. ,
Choix optimal de portefeuille ,
Alm for defined-beneit pension funds : Simultaneous management of contributions and investments, 2000. ,
Pensions in the middle east and north africa time for change, Orientations in developpement series, 2005. ,
Bond duration,maturity, and concavity : a closer second look, 2003. ,
Capital asset prices : A theory of market equilibrium under conditions of risk, The Journal of Finance, vol.19, issue.3, pp.425-442, 1964. ,
Liabilities : a new approach', The journal of portfolio management pp, pp.5-10, 1990. ,
Optimal investment policies for defined benefit pension funds, Research Memorandum WO 728, 2003. ,
Liquidity Preference and Monetary Policy, The Review of Economics and Statistics, vol.29, issue.2, pp.124-131, 1947. ,
DOI : 10.2307/1927887
An equilibrium characterisation of the term structure, Journal of Financial Economics, issue.5, pp.177-188, 1977. ,
Multivariate Analysis of Pension Plan Mortality Data, North American Actuarial Journal, vol.78, issue.2 ,
DOI : 10.1080/10920277.2001.10595989
Optimal portfolio selection for cash-flows with bounded capital at risk, 2002. ,
The many dimensions of risk, The Journal of Portfolio Management, vol.14, issue.2, pp.35-39, 1988. ,
DOI : 10.3905/jpm.1988.409142
Portfolio selection in the presence of fixed liabilities: A comment on ???The matching of assets to liabilities???, Journal of the Institute of Actuaries, vol.98, issue.02, pp.229-277, 1985. ,
DOI : 10.1017/S0020268100042128
The optimal design, of robust automatic controller for cross-financing the stochastic increments in life expectancy via an adaptive investment strategy, 2002. ,
Delay, feedback and variability of pension contributions and fund levels, Insurance: Mathematics and Economics, vol.13, issue.3, pp.271-285, 1993. ,
DOI : 10.1016/0167-6687(93)90408-H