Optimal strategies for pay-as-you-go pension finance: a sustainability framework

DOI10.1016/J.INSMATHECO.2016.05.001zbMath1369.91085OpenAlexW2385915241MaRDI QIDQ343982

María del Carmen Boado-Penas, Humberto Godínez-Olivares, Steven Haberman

Publication date: 21 November 2016

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

Full work available at URL: http://openaccess.city.ac.uk/id/eprint/14887/1/Solvency%20Godinez%20et%20al%20revised.pdf

zbMATH Keywords

riskoptimisationsustainabilitypay-as-you-gopublic pensions

Mathematics Subject Classification ID

Nonlinear programming (90C30) Mathematical geography and demography (91D20)

Related Items (5)

Manage pension deficit with heterogeneous insurance ⋮ Intergenerational actuarial fairness when longevity increases: amending the retirement age ⋮ Automatic balance mechanisms for notional defined contribution pension systems guaranteeing social adequacy and financial sustainability: an application to the Italian pension system ⋮ Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan ⋮ Continuous time model for notional defined contribution pension schemes: liquidity and solvency

Cites Work

• Optimal investment strategies and risk measures in defined contribution pension schemes.
• Stochastic optimal control of annuity contracts.
• How to Finance Pensions: Optimal Strategies for Pay‐as‐You‐Go Pension Systems
• An Investigation of the Pay-As-You-Go Financing Method Using a Contingency Fund and Optimal Control Techniques
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