Dynamic approaches to pension funding

DOI10.1016/0167-6687(94)90791-9zbMATH Open0818.62091OpenAlexW1987742327MaRDI QIDQ1892989FDOQ1892989

Authors: Steven Haberman, Joo-Ho Sung 

Publication date: 21 August 1995

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

Full work available at URL: https://doi.org/10.1016/0167-6687(94)90791-9

Recommendations

• Minimization of risks in pension funding by means of contributions and portfolio selection.
• Dynamic Programming Approach to Pension Funding: the Case of Incomplete State Information
• Optimal Dynamic Control for the Defined Benefit Pension Plans with Stochastic Benefit Outgo
• scientific article; zbMATH DE number 2101238

zbMATH Keywords

contribution ratesolvency riskbenefit occupational pension schemedynamical model of pension fundingoptimal funding control procedures

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of mathematical programming (90C90) Dynamic programming (90C39) Optimal stochastic control (93E20)

Cites Work

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Cited In (68)

• Convolution and actuarial risk in a pension fund
• Continuous-time optimal pension indexing in pay-as-you-go systems
• A defined benefit pension plan game with Brownian and Poisson jumps uncertainty
• Pension fund management and conditional indexation
• A Cash-Flow Approach to Pension Funding
• A stochastic control approach to defined contribution plan decumulation: \textit{``The nastiest, hardest problem in finance}
• Über die Variation von Steuerungsgrößen in Rentenversicherungssystemen
• On the investment strategies in occupational pension plans
• Title not available (Why is that?)
• Moving average rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme
• Time consistent pension funding in a defined benefit pension plan with non-constant discounting
• Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings
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• Mean-variance investment and contribution decisions for defined benefit pension plans in a stochastic framework
• A new approach for satisfactory pensions with no guarantees
• Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases
• A portfolio approach to the optimal funding of pensions
• Costs study through a diffusion process of pensions funds held with an outside financing effort
• Optimal Dynamic Control for the Defined Benefit Pension Plans with Stochastic Benefit Outgo
• Optimal investment strategy for defined contribution pension schemes
• Impulse control of pension fund contributions, in a regime switching economy
• Optimal supervisory rules for pension funds under diverse pension security mechanisms
• Pension Fund Dynamics and Gains/Losses Due to Random Rates of Investment Return
• Optimal investment strategies and intergenerational risk sharing for target benefit pension plans
• DYNAMIC HEDGING STRATEGIES FOR CASH BALANCE PENSION PLANS
• Optimal DB-PAYGO pension management towards a habitual contribution rate
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• Pension schemes as options on pension fund assets: implications for pension fund management
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• Pension risk management with funding and buyout options
• The logical sustainability of the pension system
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• On efficiency of mean-variance based portfolio selection in defined contribution pension schemes
• Efficient Gain and Loss Amortization and Optimal Funding in Pension Plans
• A stochastic-dynamic approach to pension funding
• Equilibrium strategies in a defined benefit pension plan game
• Pension funding incorporating downside risks.
• Pensions modelling

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