Dynamic Programming Approach to Pension Funding: the Case of Incomplete State Information

DOI10.2143/AST.32.1.1019MaRDI QIDQ4661655zbMATH OpenFDO

Authors Steven Haberman, Joo-Ho Sung

Publication date 30 March 2005

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/AST.32.1.1019

zbMATH Keywords

dynamic programmingpension fundingseparation principlestochastic control

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Dynamic programming (90C39)

Recommendations

• Dynamic approaches to pension funding
• Optimal Dynamic Control for the Defined Benefit Pension Plans with Stochastic Benefit Outgo
• Minimization of risks in pension funding by means of contributions and portfolio selection.
• Contribution and solvency risk in a defined benefit pension scheme
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Cites work

• Dynamic programming and stochastic control
• scientific article; zbMATH DE number 3963634 (Why is no real title available?)
• Pension Fund Dynamics and Gains/Losses Due to Random Rates of Investment Return

Cited in

(5)

• Optimal pension funding through dynamic simulations: The case of Taiwan public employees retirement system
• Dynamic approaches to pension funding
• Optimal pension funding dynamics over infinite control horizon when stochastic rates of return are stationary
• Optimal premium policy of an insurance firm: full and partial information
• Linear-quadratic zero-sum stochastic differential game with partial observation

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