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Title: Intertemporal Stable Pension Funding
Authors: 繆震宇;王儷玲
Miao, Jerry C.Y.;Wang, Jennifer L.
Contributors: 風管系
Date: 2006-02
Issue Date: 2010-10-06 10:41:07 (UTC+8)
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: Conference of American Risk and Insurance Association
Asia Pacific Journal of Risk and Insurance, 1(2), 50-63
Data Type: article
Appears in Collections:[風險管理與保險學系] 期刊論文

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