A two-parameter family of pension contribution functions and stochastic optimization

DOI10.1016/0167-6687(87)90021-7zbMath0658.62124OpenAlexW2166314432MaRDI QIDQ1111307

Thomas J. O'Brien

Publication date: 1987

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://purl.umn.edu/4377

zbMATH Keywords

controlled diffusion processespension funding dynamicsone-parameter family of funding methods

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20)

Related Items (14)

The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding ⋮ Dynamic approaches to pension funding ⋮ Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings ⋮ Minimization of risks in pension funding by means of contributions and portfolio selection. ⋮ Stochastic control of funding systems. ⋮ Pension funding incorporating downside risks. ⋮ Weak convergence of random growth processes with applications to insurance ⋮ Efficient Gain and Loss Amortization and Optimal Funding in Pension Plans ⋮ Retirement saving with contribution payments and labor income as a benchmark for investments ⋮ Pension Fund Dynamics and Gains/Losses Due to Random Rates of Investment Return ⋮ Optimal risk management in defined benefit stochastic pension funds ⋮ Optimal investment decisions with a liability: the case of defined benefit pension plans ⋮ Pension schemes as options on pension fund assets: implications for pension fund management ⋮ Optimal pension funding through dynamic simulations: The case of Taiwan public employees retirement system

Cites Work

• A stochastic-dynamic approach to pension funding
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