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Correlation and the Pension Protection Fund – Fiscal Studies (2006)

by Paul Sweeting | May 25, 2006 | All, Articles, Library

In this paper, I use a stochastic approach to model the effect that correlations between pension scheme assets and firm values should have on the premiums chargeable by the Pension Protection Fund. In particular, I look at the effect on the aggregate premium that...

Pension Schemes and Fixed Income Investment – British Actuarial Journal (2004)

by Paul Sweeting | Jun 1, 2004 | All, Articles, Library

The purpose of this paper is to investigate the role that fixed income securities should play in pension scheme investment. In this paper I look at the investment characteristics of the various bond asset classes, including the nature of the income streams produced. I...

High Yield Corporate Debt and Pension Schemes: an Update – Faculty of Actuaries Student Society (2003)

by Paul Sweeting | Oct 27, 2003 | All, Articles, Library

This paper is an updated version of my 2002 paper to the Staple Inn Actuarial Society. The purpose of the paper is to investigate the role that high yield corporate debt may play in pension scheme investment. After describing the origins of the high yield corporate...

The Role of High Yield Corporate Debt in Pension Schemes – Staple Inn Actuarial Society (2002)

by Paul Sweeting | Mar 7, 2002 | All, Articles, Library

The purpose of this paper is to investigate the role that high yield corporate debt may play in pension scheme investment. After describing the origins of the high yield corporate debt market, I compare the investment characteristics of high yield corporate debt with...
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