Fair Valuation of Pension Contracts

In this paper we address the problem of valuing (corporate) pension contracts. In the literature pension contracts are divided into two groups; dened contribution plans and dened benet plans. We propose several contracts that t into the denition of dened contribution plans, and we show that these contracts can be valued by using forward-start options. We also allow for both periodic premium and pension payments. In addition, we also show how the nancial risk of these contracts can be managed. Finally, we give a similar analysis of contracts that t into the description of dened benet plans.