Pierre Devolder

Catholic University of Louvain

Place Montesquieu, 3

B-1348 Louvain-la-Neuve, 1348

Belgium

SCHOLARLY PAPERS

11

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Top 31,777

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23

CROSSREF CITATIONS

9

Scholarly Papers (11)

1.

Stochastic Mortality Under Measure Changes

Number of pages: 42 Posted: 22 Jun 2009 Last Revised: 13 Feb 2010
Enrico Biffis, Michel Denuit and Pierre Devolder
Imperial College Business School, Catholic University of Louvain and Catholic University of Louvain
Downloads 809 (55,518)
Citation 11

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Stochastic mortality, Lee-Carter model, mortality risk premium, fair valuation, mortality-linked securities

2.

Adequacy, Fairness and Sustainability of Pay-As-You-Go-Pension-Systems: Defined Benefit Versus Defined Contribution

The European Journal of Finance. Available online: Doi: 10.1080/1351847X.2017.1399429
Number of pages: 29 Posted: 21 Sep 2016 Last Revised: 15 Nov 2017
Université Libre de Bruxelles (ULB) - Department of Mathematics, University of Liverpool and Catholic University of Louvain
Downloads 267 (205,662)
Citation 1

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Pay-as-you-go, Public pensions, Risks, Sustainability

3.

Continuous Time Model for Notional Defined Contribution Pension Schemes: Liquidity and Solvency

Insurance: Mathematics and Economics, Vol. 88, No. September, 2019
Number of pages: 37 Posted: 17 Jul 2017 Last Revised: 14 Oct 2019
Jennifer Alonso-García and Pierre Devolder
Université Libre de Bruxelles (ULB) - Department of Mathematics and Catholic University of Louvain
Downloads 148 (352,154)
Citation 2

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Automatic balancing mechanisms, liquidity, solvency, sustainability, fairness, pension, design

Towards an Equitable and Sustainable Points System: A Proposal for Pension Reform in Belgium

KU Leuven, Department of Economics, Discussion Paper Series No. 17.03
Number of pages: 47 Posted: 02 May 2017
Catholic University of Leuven (KUL), Catholic University of Louvain, University of London - School of Economics and Finance and University of Amsterdam
Downloads 94 (496,889)
Citation 1

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Towards an Equitable and Sustainable Points System: A Proposal for Pension Reform in Belgium

KU Leuven Department of Economics, Discussion Paper Series, NO DPS17.03
Number of pages: 47 Posted: 20 Mar 2017
Catholic University of Leuven (KUL), Catholic University of Louvain, University of London - School of Economics and Finance and University of Amsterdam
Downloads 54 (681,826)

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Towards an Equitable and Sustainable Points System. A Proposal for Pension Reform in Belgium

Journal of Pension Economics and Finance, doi/10.1017/S1474747218000112
Posted: 30 May 2018
Catholic University of Leuven (KUL), Catholic University of Louvain, University of London - School of Economics and Finance and University of Amsterdam

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Pension reform, points system, automatic adjustment, Musgrave rule

5.

Valuation of Hybrid Financial and Actuarial Products in Life Insurance by a novel 3-Step Method

ASTIN Bulletin, 50(3), pp. 709-742, 2020
Number of pages: 42 Posted: 09 Jan 2019 Last Revised: 22 Mar 2022
Université Libre de Bruxelles (ULB), Catholic University of Louvain, Maastricht University - Department of Quantitative Economics and Université de Lausanne
Downloads 142 (364,105)
Citation 1

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financial risk, actuarial valuation, (un)systematic mortality risk, contract valuation, risk decomposition, hedging

6.

Optimal Mix Between Pay-As-You-Go and Funding for DC Pension Schemes in an Overlapping Generations Model

Insurance: Mathematics and Economics, Vol. 70, 2016
Number of pages: 22 Posted: 02 Jun 2020
Jennifer Alonso-García and Pierre Devolder
Université Libre de Bruxelles (ULB) - Department of Mathematics and Catholic University of Louvain
Downloads 102 (466,657)
Citation 1

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PAYG, Diversification, Portfolio theory, Funding, Utility

7.

A Two-Step Mixed Pension System: How to Reinvent Social Security with the Help of Notional Accounts and Term Annuities

Retirement Management Journal, Vol. 7, No. 1, 2018, pp. 31-40
Number of pages: 12 Posted: 06 Nov 2019
University of Extremadura - Department of Economics, Catholic University of Louvain, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 91 (503,102)

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Retirement Planning, Social Security, Retirement Pension Systems

8.

The Minimal Entropy Martingale Measure in a Market of Traded Financial and Actuarial Risks

Number of pages: 34 Posted: 31 Aug 2014
Jan Dhaene, Ben Stassen, Pierre Devolder and Michel Vellekoop
Katholieke Universiteit Leuven, KU Leuven - Faculty of Business and Economics (FEB), Catholic University of Louvain and University of Amsterdam - Faculty of Economics and Business (FEB)
Downloads 80 (544,513)
Citation 1

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Minimal entropy martingale measure, relative entropy, financial risks, actuarial risks, independence, incomplete markets.

9.

Life Annuitization: Why and How Much?

ASTIN Bulletin, Vol 36(2), 2006, p. 629-654
Number of pages: 23 Posted: 22 Oct 2013
Donatien Hainaut and Pierre Devolder
Université Catholique de Louvain and Catholic University of Louvain
Downloads 51 (685,312)
Citation 1

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optimal consumption and portfolio policies, annuity puzzle, Markov chain approximation, stochastic control, annuity puzzle

10.

Guarantee Valuation in Notional Defined Contribution Pension Systems

ASTIN Bulletin, vol. 46, pp. 677-707, DOI: org/10.1017/asb.2016.21
Number of pages: 30 Posted: 10 Dec 2015 Last Revised: 13 Sep 2021
Jennifer Alonso-García and Pierre Devolder
Université Libre de Bruxelles (ULB) - Department of Mathematics and Catholic University of Louvain
Downloads 45 (722,644)
Citation 3

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Public pension, pay-as-you-go, option pricing, incomplete markets, exponential utility

11.

Automatic Balancing Mechanisms for Notional Defined Contribution Accounts in the Presence of Uncertainty

Scandinavian Actuarial Journal, 2018:2, 85-108, DOI: 10.1080/03461238.2017.1304984
Number of pages: 30 Posted: 02 Jun 2020
Université Libre de Bruxelles (ULB) - Department of Mathematics, University of Liverpool and Catholic University of Louvain
Downloads 41 (749,661)
Citation 1

Abstract:

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Actuarial analysis, public pensions, retirement, solvency, stochastic processes, risk