Market-Consistent Valuation of a Defined Benefit Pension Find's Employer Covenant and its Use in Risk-Based Capital Assessment-Reference-Cited by-同舟云学术

Market-Consistent Valuation of a Defined Benefit Pension Find's Employer Covenant and its Use in Risk-Based Capital Assessment

Published:2014-01-27 Issue:2 Volume:19 Page:346-403
ISSN:1357-3217
Container-title:British Actuarial Journal
language:en
Short-container-title:Br. Actuar. J.

Author:

Turnbull Craig

Publisher

Cambridge University Press (CUP)

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference16 articles.

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2. Jarrow Robert A. , Stuart Turnbull. “Pricing Derivatives on Financial Securities Subject to Credit Risk”. Journal of Finance, vol. 50, March, 1995.

3. EIOPA Consultation Paper 003/2012 – Draft Technical Specifications for the Quantitative Impact Study of EIOPA's Advice on the Review of the IORP Directive.

4. A Theory of the Term Structure of Interest Rates

5. Sethi Rishab . “New Zealand Zero-Coupon Yield Curves: A Principal-Components Analysis”, Bank of International Settlements, January 2008.

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3. Options for Assessing Employer Covenant and Holistic Balance Sheet ‐ Abstract of the Edinburgh Discussion;British Actuarial Journal;2014-07

4. Options for Assessing Employer Covenant and Holistic Balance Sheet ‐ Abstract of the London Discussion;British Actuarial Journal;2014-07