Defined benefit (DB) pension plans are a primary type of pension schemes with the sponsor assuming most of the risks. Longevity-indexed bonds have been used to hedge or transfer risks in pension plans. Our objective is to study an aggregated DB pension plan's optimal risk management problem...

There is a large professional literature on the correct measurement of the funded status of and indicated employer contributions to government employee pension plans. But static measures do not provide a quantification of the risk that plans could represent in the future in various possible...

In the data envelopment analysis (DEA) literature, productivity change captured by the Malmquist productivity index, especially in terms of a deterministic environment and stochastic variability in inputs and outputs, has been somewhat ignored. Therefore, this study developed a frm-specifc,...