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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10016/5565
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| Title: | Minimization of risks in pension funding by means of contributions and portfolio selection |
| Author(s): | Josa-Fombellida, Ricardo
Rincón-Zapatero, Juan Pablo [jrincon] |
| Publisher: | Elsevier |
| Issued date: | 2001 |
| Citation: | Insurance: Mathematics and Economics. 2001, vol. 29, nº 1, p. 35-45 |
| URI: | http://hdl.handle.net/10016/5565 |
| ISSN: | 0167-6687 |
| DOI: | 10.1016/S0167-6687(01)00070-1 |
| Abstract: | We 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. |
| Sponsor: | The 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 |
| Review: | PeerReviewed |
| Publisher version: | http://dx.doi.org/10.1016/S0167-6687(01)00070-1 |
| Keywords: | Pension funding
Contribution rate risk
Solvency risk
Asset allocation
Stochastic control |
| JEL Classification: | G23
G11 |
| Rights: | © Elsevier |
| Appears in Collections: | Economists Online
DE - Artículos de Revistas
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