Heterogeneity-adjusted management of pension funds using adaptive representative agents

DOI10.1007/S10203-022-00384-9MaRDI QIDQ6089411zbMATH OpenOpenAlexFDO

Authors Thepdanai Danswasvong, Sira Suchintabandid

Publication date 17 November 2023

Published in Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10203-022-00384-9

zbMATH Keywords

defined-benefit pension funddynamic programmingheterogeneityoptimal asset allocationstochastic control

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Actuarial mathematics (91G05) Optimal stochastic control (93E20)

Recommendations

• Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings
• The optimal management for defined benefit pension funds based on a Heston model
• Manage pension deficit with heterogeneous insurance
• Optimal investment decisions with a liability: the case of defined benefit pension plans
• Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates

Cites work

• Mean-variance optimization problems for an accumulation phase in a defined benefit plan
• Optimal contributions in a defined benefit pension scheme with stochastic new entrants
• Optimal investment strategy for defined contribution pension schemes
• Optimal pension funding dynamics over infinite control horizon when stochastic rates of return are stationary
• Optimal risk management in defined benefit stochastic pension funds
• Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans

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