Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/29026


Title: Optimal Pension Funding Through Dynamic Simulations: the Case of Taiwan Public Employees Retirement System
Authors: 張士傑
Chang, Shih-Chieh
Date: 1999-05
Issue Date: 2009-05-23 01:15:59 (UTC+8)
Abstract: An approach combining stochastic simulations and dynamic optimization is constructed to decide the optimal funding policy of the defined benefit pension scheme. The results show a significant advantage and flexibility of this approach in projecting the optimal financial status over the traditional deterministic pension valuation. In this study, the optimal contributions are estimated through dynamic programming under the projected workforce and specified constraints. Taiwan public employees retirement system (Tai-PERS) is studied for illustration. This article outlines the procedure of building the proposed dynamic procedure and presents the empirical findings from this study.
Relation: Insurance: Mathematics and Economic,24(3),184-199
Data Type: article
DOI 連結: http://dx.doi.org/10.1016/S0167-6687(98)00052-3
Appears in Collections:[風險管理與保險學系 ] 期刊論文

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