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A0602
Title: Low interest rate regime and attractive pension payouts under the benchmark approach Authors:  Eckhard Platen - University of Technology Sydney (Australia) [presenting]
Abstract: A potential mathematically founded explanation for the currently observed low-interest rates in developed economies is given. Such low-interest rates make the production of typical pension payouts difficult when using the classical risk-neutral pricing and hedging approach. By using the more general benchmark approach, it is demonstrated how attractive pension payouts can be produced via respective dynamic asset allocation strategies.