Dynamic approaches to pension funding
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Publication:1892989
DOI10.1016/0167-6687(94)90791-9zbMath0818.62091MaRDI QIDQ1892989
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
solvency risk; contribution rate; benefit occupational pension scheme; dynamical model of pension funding; optimal funding control procedures
62P05: Applications of statistics to actuarial sciences and financial mathematics
90C90: Applications of mathematical programming
90C39: Dynamic programming
93E20: Optimal stochastic control
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Cites Work
- A two-parameter family of pension contribution functions and stochastic optimization
- 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
- Stochastic processes and filtering theory
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