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Intertemporal Stable Pension Funding

Author

Listed:
  • Miao Jerry C.Y.

    (Tamkang University, Taiwan)

  • Wang Jennifer L.

    (National Chengchi University, Taiwan)

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.

Suggested Citation

  • Miao Jerry C.Y. & Wang Jennifer L., 2006. "Intertemporal Stable Pension Funding," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 1(2), pages 1-15, February.
    • Handle: RePEc:bpj:apjrin:v:1:y:2006:i:2:n:3
    DOI: 10.2202/2153-3792.1009
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    References listed on IDEAS

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