A two-parameter family of pension contribution functions and stochastic optimization

DOI10.1016/0167-6687(87)90021-7MaRDI QIDQ1111307zbMATHOpenAlexFDO

Authors Thomas J. O'Brien

Publication date 1987

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

Full work available at URL http://purl.umn.edu/4377

zbMATH Keywords

controlled diffusion processespension funding dynamicsone-parameter family of funding methods

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20)

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Cited in

(14)

• Pension funding incorporating downside risks.
• Stochastic control of funding systems.
• Weak convergence of random growth processes with applications to insurance
• Efficient Gain and Loss Amortization and Optimal Funding in Pension Plans
• Dynamic approaches to pension funding
• Pension Fund Dynamics and Gains/Losses Due to Random Rates of Investment Return
• Pension schemes as options on pension fund assets: implications for pension fund management
• Optimal investment decisions with a liability: the case of defined benefit pension plans
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• Optimal risk management in defined benefit stochastic pension funds
• Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings
• Retirement saving with contribution payments and labor income as a benchmark for investments
• Optimal pension funding through dynamic simulations: The case of Taiwan public employees retirement system
• Minimization of risks in pension funding by means of contributions and portfolio selection.

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