Optimal pension funding through dynamic simulations: The case of Taiwan public employees retirement system

DOI10.1016/S0167-6687(98)00052-3zbMath0959.91024OpenAlexW2118229120MaRDI QIDQ1302124

Shih-Chieh Chang

Publication date: 2 May 2001

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

Full work available at URL: https://doi.org/10.1016/s0167-6687(98)00052-3

zbMATH Keywords

dynamic optimizationstochastic simulationoptimal funding

Mathematics Subject Classification ID

Related Items (9)

Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas ⋮ Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings ⋮ Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes ⋮ Mean-variance portfolio and contribution selection in stochastic pension funding ⋮ Allocating unfunded liability in pension valuation under uncertainty. ⋮ Pension funding incorporating downside risks. ⋮ Equilibrium strategies in a defined benefit pension plan game ⋮ Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance ⋮ Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates

Cites Work

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• Pension funding with time delays and autoregressive rates of investment return
• Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme
• Dynamic approaches to pension funding
• Introduction to stochastic control theory
• A realistic non-homogeneous stochastic pension fund model on scenario basis

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