Intertemporal stable pension funding

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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:	[Graduate Institute & Department of Insurance Insurance] Journal Article

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