Optimal DB-PAYGO pension management towards a habitual contribution rate

DOI10.1016/J.INSMATHECO.2020.07.005MaRDI QIDQ2212147zbMATH OpenOpenAlexFDO

Authors Lin He, Zongxia Liang, Fengyi Yuan

Publication date 19 November 2020

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2020.07.005

zbMATH Keywords

DB-PAYGO pension managementdiscontinuity riskhabitual targetLagrange dual methodunstable contribution risk

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Portfolio theory (91G10)

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Cited in

(9)

• Current developments in German pension schemes: what are the benefits of the new target pension?
• Optimal contribution rate of PAYGO pension
• Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
• Continuous-time optimal pension indexing in pay-as-you-go systems
• Optimal mix between pay-as-you-go and funding for DC pension schemes in an overlapping generations model
• \(\alpha\)-robust optimal investment strategy for target benefit pension plans under default risk
• Dynamic optimal adjustment policies of hybrid pension plans
• Transforming public pensions: a mixed scheme with a credit granted by the state
• Optimal asset allocation, consumption and retirement time with the variation in habitual persistence

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