Dynamic approaches to pension funding. (English) Zbl 0818.62091

Summary: The paper presents a dynamical 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.


91B30 Risk theory, insurance (MSC2010)
62P05 Applications of statistics to actuarial sciences and financial mathematics
93E20 Optimal stochastic control
90C90 Applications of mathematical programming
90C39 Dynamic programming
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