Optimal pension funding dynamics over infinite control horizon when stochastic rates of return are stationary

DOI10.1016/j.insmatheco.2004.10.006zbMath1111.91023OpenAlexW2001745784MaRDI QIDQ2483951

Steven Haberman, Joo-Ho Sung

Publication date: 1 August 2005

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.10.006

zbMATH Keywords

Optimal pension fundingForward dynamic programming (FDP)Infinite control horizonStationary linear quadratic performance index

Mathematics Subject Classification ID

Dynamic programming (90C39)

Related Items (15)

Unnamed Item ⋮ Impulse control of pension fund contributions, in a regime switching economy ⋮ Constrained Markov decision processes with first passage criteria ⋮ Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes ⋮ Generalized coupled algebraic Riccati equations for discrete-time Markov jump with multiplicative noise systems ⋮ Stochastic optimal control problems of discrete‐time Markov jump systems ⋮ Heterogeneity-adjusted management of pension funds using adaptive representative agents ⋮ Fair demographic risk sharing in defined contribution pension systems ⋮ Time consistent pension funding in a defined benefit pension plan with non-constant discounting ⋮ Managing contribution and capital market risk in a funded public defined benefit plan: impact of CVaR cost constraints ⋮ Mean-variance optimization problems for an accumulation phase in a defined benefit plan ⋮ Markov control processes with randomized discounted cost ⋮ Downside Risk Management of a Defined Benefit Plan Considering Longevity Basis Risk ⋮ Constrained stochastic LQ optimal control problem with random coefficients on infinite time horizon ⋮ Optimal Dynamic Control for the Defined Benefit Pension Plans with Stochastic Benefit Outgo

Cites Work

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• Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme
• Dynamic approaches to pension funding
• Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
• Dynamic Programming Approach to Pension Funding: the Case of Incomplete State Information
• Efficient Gain and Loss Amortization and Optimal Funding in Pension Plans
• Pension Fund Dynamics and Gains/Losses Due to Random Rates of Investment Return
• Contribution and solvency risk in a defined benefit pension scheme

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