Dynamic approaches to pension funding
From MaRDI portal
Publication:1892989
DOI10.1016/0167-6687(94)90791-9zbMath0818.62091OpenAlexW1987742327MaRDI QIDQ1892989
Publication date: 21 August 1995
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-6687(94)90791-9
solvency riskcontribution ratebenefit occupational pension schemedynamical model of pension fundingoptimal funding control procedures
Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of mathematical programming (90C90) Dynamic programming (90C39) Optimal stochastic control (93E20)
Related Items
Impulse control of pension fund contributions, in a regime switching economy, Optimal investment strategies and intergenerational risk sharing for target benefit pension plans, Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings, Dynamic optimal adjustment policies of hybrid pension plans, Robust equilibrium strategies in a defined benefit pension plan game, Stochastic investment returns and contribution rate risk in a defined benefit pension scheme, Moving average rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme, A Stochastic Control Approach to Defined Contribution Plan Decumulation: “The Nastiest, Hardest Problem in Finance”, Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes, Mean-variance portfolio and contribution selection in stochastic pension funding, A defined benefit pension plan model with stochastic salary and heterogeneous discounting, A defined benefit pension plan game with Brownian and Poisson jumps uncertainty, Minimization of risks in pension funding by means of contributions and portfolio selection., Stochastic control of funding systems., Pension funding incorporating downside risks., Equilibrium strategies in a defined benefit pension plan game, Optimal DB-PAYGO pension management towards a habitual contribution rate, Time consistent pension funding in a defined benefit pension plan with non-constant discounting, Stochastic optimal control of annuity contracts., Managing contribution and capital market risk in a funded public defined benefit plan: impact of CVaR cost constraints, Mean-variance optimization problems for an accumulation phase in a defined benefit plan, Mean-variance investment and contribution decisions for defined benefit pension plans in a stochastic framework, An Investigation of the Pay-As-You-Go Financing Method Using a Contingency Fund and Optimal Control Techniques, Efficient Gain and Loss Amortization and Optimal Funding in Pension Plans, Retirement saving with contribution payments and labor income as a benchmark for investments, Deterministic Modeling of Defined-Contribution Pension Funds, Pension Fund Dynamics and Gains/Losses Due to Random Rates of Investment Return, Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases, Optimal pension funding dynamics over infinite control horizon when stochastic rates of return are stationary, Optimal investment strategy for defined contribution pension schemes, Optimal risk management in defined benefit stochastic pension funds, Contribution and solvency risk in a defined benefit pension scheme, A general optimization framework for the annuity contracts with multiscale stochastic volatility, Optimal investment decisions with a liability: the case of defined benefit pension plans, Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance, Pension schemes as options on pension fund assets: implications for pension fund management, Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates, Optimal Dynamic Control for the Defined Benefit Pension Plans with Stochastic Benefit Outgo, Optimal pension funding through dynamic simulations: The case of Taiwan public employees retirement system, Optimal contributions in a defined benefit pension scheme with stochastic new entrants, The Management of Decumulation Risks in a Defined Contribution Pension Plan, On efficiency of mean–variance based portfolio selection in defined contribution pension schemes
Cites Work
- A two-parameter family of pension contribution functions and stochastic optimization
- 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
- Stochastic processes and filtering theory
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
