淡江大學機構典藏:Item 987654321/24473
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    题名: Intertemporal stable pension funding
    作者: 繆震宇;Miao, Jerry C. Y.;王儷玲;Wang, Jennifer L.
    贡献者: 淡江大學保險學系
    关键词: Pension fund;dynamic programming;intertemporal stable condition;optimal contribution
    日期: 2006-02
    上传时间: 2009-11-30 18:23:35 (UTC+8)
    出版者: Singapore College of Insurance
    摘要: 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.
    關聯: Asia-Pacific Journal of Risk and Insurance 1(2), pp.50-83
    DOI: 10.2202/2153-3792.1009
    显示于类别:[風險管理與保險學系] 期刊論文

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