Publication:
Minimization of risks in pension funding by means of contributions and portfolio selection

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorJosa-Fombellida, Ricardo
dc.contributor.authorRincón-Zapatero, Juan Pablo
dc.date.accessioned2012-10-04T10:58:44Z
dc.date.available2012-10-04T10:58:44Z
dc.date.issued2001
dc.description.abstractWe consider a dynamic model of pension funding in a defined benefit plan of an employment system. The prior objective of the sponsor of the pension plan is the determination of the contribution rate amortizing the unfunded actuarial liability, in order to minimize the contribution rate risk and the solvency risk. To this end, the promoter invest in a portfolio with n risky assets and a risk-free security. The aim of this paper is to determine the optimal funding behavior in this dynamic, stochastic framework.
dc.description.sponsorshipThe research of this author was supported by Investigation Project PB98-0393 of Dirección General de Enseñanza Superior e Investigación Científica and VA108/01 of Consejería de Educación y Cultura de la Junta de Castilla y León, Spain
dc.description.statusPublicado
dc.format.mimetypeapplication/pdf
dc.format.mimetypetext/plain
dc.identifier.bibliographicCitationInsurance: Mathematics and Economics. 2001, vol. 29, nº 1, p. 35-45
dc.identifier.doi10.1016/S0167-6687(01)00070-1
dc.identifier.issn0167-6687
dc.identifier.publicationfirstpage35
dc.identifier.publicationissue1
dc.identifier.publicationlastpage45
dc.identifier.publicationtitleInsurance: Mathematics and Economics
dc.identifier.publicationvolume29
dc.identifier.urihttps://hdl.handle.net/10016/5565
dc.language.isoeng
dc.publisherElsevier
dc.relation.publisherversionhttp://dx.doi.org/10.1016/S0167-6687(01)00070-1
dc.rights© Elsevier
dc.rights.accessRightsopen access
dc.subject.ecienciaEconomía
dc.subject.jelG23
dc.subject.jelG11
dc.subject.otherPension funding
dc.subject.otherContribution rate risk
dc.subject.otherSolvency risk
dc.subject.otherAsset allocation
dc.subject.otherStochastic control
dc.titleMinimization of risks in pension funding by means of contributions and portfolio selection
dc.typeresearch article*
dc.type.hasVersionAM*
dc.type.reviewPeerReviewed
dspace.entity.typePublication
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