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Title: Realistic Pension Funding: A Stochastic Approach
Authors: 張士傑
Keywords: contributions;control theory;dynamic programming;performance measure
Date: 1999
Issue Date: 2008-12-08 11:09:01 (UTC+8)
Abstract: The process funding pension plans is viewed as a dynamic control process. Two performance measures are introduced to evaluate the effectiveness of plan contributions: the cost-induced performance measure (CIPM) and the ratio-induced performance measure (RIPM). A dynamic programming approach is used to determining the optimal contributions with the objective of minimizing the performance measure. The methodology developed is applied to a sample of members of Taiwan's Public Employees Pension Plan (Tai-PERS). We show that RIPM produces more stable results than those using CIPM.
Relation: Journal of Actuarial Practice,8,5-42
Data Type: article
Appears in Collections:[風險管理與保險學系 ] 期刊論文

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