A two-parameter family of pension contribution functions and stochastic optimization
type: Item
instance of: scholarly article
title: A two-parameter family of pension contribution functions and stochastic optimization
zbMATH Open document ID: 0658.62124
DOI: 10.1016/0167-6687(87)90021-7
published in: Insurance Mathematics \& Economics
publication date: 1987-01-01T00:00:00Z
full work available at URL: http://purl.umn.edu/4377
review text: In ibid. 5, 141-146 (1986; Zbl 0587.62191), the author has suggested a linear function of A(t) (present value of future benefits) and F(t) (fund) as pension contribution function in place of the form given in \textit{C. L. Trowbridge} [Trans. Soc. Actuaries 15, 151-169 (1963)] which is a one-parameter family of funding methods. Here we provide some theoretical justification for such a method by showing that, in the simplified model of this paper, the optimal solution of a stochastic control problem yields, as contribution function, an affine function of A(t) and F(t).
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 4076409
zbMATH Keywords: controlled diffusion processes
zbMATH Keywords: pension funding dynamics
zbMATH Keywords: one-parameter family of funding methods
author: Thomas J. O'Brien
MaRDI profile type: Publication
OpenAlex ID: W2166314432
cites work: Q4404205
cites work: Q4086303
cites work: A stochastic-dynamic approach to pension funding
description: scientific article; zbMATH DE number 4076409