淡江大學機構典藏:Item 987654321/24686
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    题名: Intertemporal stable pension funding
    其它题名: 跨期穩定的退休金提撥
    作者: 繆震宇;Miao, Jerry C. Y.;Wang, Jeniffer L.;Tzeng, Larry Y.
    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: 2004-08
    上传时间: 2009-11-30 18:32:36 (UTC+8)
    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: 2004 ARIA Annual Meeting, Chicago
    显示于类别:[風險管理與保險學系] 會議論文

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