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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/24473


    Title: Intertemporal stable pension funding
    Authors: 繆震宇;Miao, Jerry C. Y.;王儷玲;Wang, Jennifer L.
    Contributors: 淡江大學保險學系
    Keywords: Pension fund;dynamic programming;intertemporal stable condition;optimal contribution
    Date: 2006-02
    Issue Date: 2009-11-30 18:23:35 (UTC+8)
    Publisher: Singapore College of Insurance
    Abstract: This paper proposes a discrete dynamic programming model to maintain pension contribution in a stable level. By assuming an intertemporal stable contribution rate, we derive an algorithm to calculate the optimal contribution that requires less exogenous information and produces more stable results. Our simulation results further confirm that our model helps pension fund managers to make more stable contributions and further reduce the contribution risk for the defined benefit pension fund than the traditional algorithms do.
    Relation: Asia-Pacific Journal of Risk and Insurance 1(2), pp.50-83
    DOI: 10.2202/2153-3792.1009
    Appears in Collections:[保險學系暨研究所] 期刊論文

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