Optimal pension funding through dynamic simulations: The case of Taiwan public employees retirement system
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Publication:1302124
DOI10.1016/S0167-6687(98)00052-3zbMATH Open0959.91024OpenAlexW2118229120MaRDI QIDQ1302124FDOQ1302124
Publication date: 2 May 2001
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-6687(98)00052-3
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Cites Work
- Introduction to stochastic control theory
- Dynamic approaches to pension funding
- A stochastic simulation procedure for pension schemes
- Title not available (Why is that?)
- Notes on the dynamics of pension funding
- A realistic non-homogeneous stochastic pension fund model on scenario basis
- 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
- A two-parameter family of pension contribution functions and stochastic optimization
- Stability of pension systems when rates of return are random
- A stochastic-dynamic approach to pension funding
- Pension funding with time delays. A stochastic approach
Cited In (11)
- Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings
- Simulation-based optimization of social security systems under uncertainty
- Allocating unfunded liability in pension valuation under uncertainty.
- Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
- Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes
- Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance
- Mean-variance portfolio and contribution selection in stochastic pension funding
- Title not available (Why is that?)
- Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas
- Equilibrium strategies in a defined benefit pension plan game
- Pension funding incorporating downside risks.
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