RT Journal Article
T1 Minimization of risks in pension funding by means of contributions and portfolio selection
A1 Josa-Fombellida, Ricardo
A1 Rincón-Zapatero, Juan Pablo
AB 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.
PB Elsevier
SN 0167-6687
YR 2001
FD 2001
LK https://hdl.handle.net/10016/5565
UL https://hdl.handle.net/10016/5565
LA eng
NO 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
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RD 25 may. 2024