DYNAMIC APPROACHES TO PENSION FUNDING

被引：65

作者：

HABERMAN, S

SUNG, JH

机构：

[1] Department of Actuarial Science and Statistics, City University, EC1V 0HB London, Northampton Square

来源：

INSURANCE MATHEMATICS & ECONOMICS | 1994年 / 15卷 / 2-3期

关键词：

PENSION FUNDING; DYNAMIC PROGRAMMING; STOCHASTIC CONTROL;

D O I：

10.1016/0167-6687(94)90791-9

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The paper presents a dynamic model of pension funding for a defined benefit occupational pension scheme. Two types of risk are introduced concerned respectively with the stability and security of funding: the 'contribution rate' risk and the 'solvency' risk. An objective function is introduced to allow the simultaneous minimization of these two risks. The paper derives optimal funding control procedures for the contribution rate subject to specified constraints.

引用

页码：151 / 162

页数：12

共 15 条

[1]

Astrom K.J., 1970, INTRO STOCHASTIC CON

[2]

Bellman R., 1957, DYNAMIC PROGRAMMING

[3]

Benjamin S., 1989, J I ACTUARIES, V116, P717

[4]

BENJAMIN S, 1984, 22ND T INT C ACT, P295