Pierre Devolder

Catholic University of Louvain

Place Montesquieu, 3

B-1348 Louvain-la-Neuve, 1348

Belgium

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 38,208

SSRN RANKINGS

Top 38,208

in Total Papers Downloads

1,365

SSRN CITATIONS
Rank 19,968

SSRN RANKINGS

Top 19,968

in Total Papers Citations

18

CROSSREF CITATIONS

31

Scholarly Papers (12)

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 752 (37,865)
Citation 9

Abstract:

Loading...

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 203 (171,870)
Citation 1

Abstract:

Loading...

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

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 51 (444,309)
Citation 1

Abstract:

Loading...

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 35 (516,484)

Abstract:

Loading...

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

Abstract:

Loading...

Pension reform, points system, automatic adjustment, Musgrave rule

4.

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 74 (363,024)
Citation 1

Abstract:

Loading...

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

5.

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 60 (405,404)

Abstract:

Loading...

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

6.

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: 23 Oct 2020
Université Libre de Bruxelles (ULB), Catholic University of Louvain, Maastricht University - Department of Quantitative Economics and University of Ulm - Department of Mathematics and Economics
Downloads 55 (422,499)
Citation 1

Abstract:

Loading...

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

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 38 (490,729)

Abstract:

Loading...

Retirement Planning, Social Security, Retirement Pension Systems

8.

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: 10 Feb 2017
Jennifer Alonso-García and Pierre Devolder
Université Libre de Bruxelles (ULB) - Department of Mathematics and Catholic University of Louvain
Downloads 29 (535,784)
Citation 1

Abstract:

Loading...

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

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 27 (547,258)
Citation 1

Abstract:

Loading...

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

10.

Securitization of Longevity Risk: Pricing Survivor Bonds with Wang Transform in the Lee-Carter Framework

Journal of Risk & Insurance, Vol. 74, No. 1, pp. 87-113, March 2007
Number of pages: 27 Posted: 04 Mar 2007
Michel Denuit, Pierre Devolder and Anne-Cécile Goderniaux
Catholic University of Louvain, Catholic University of Louvain and Independent
Downloads 24 (565,845)
Citation 7
  • Add to Cart

Abstract:

Loading...

11.

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 9 (668,356)
Citation 1

Abstract:

Loading...

PAYG, Diversification, Portfolio theory, Funding, Utility

12.

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 8 (675,589)
Citation 1

Abstract:

Loading...

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