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Optimal pension funding dynamics over infinite control horizon when stochastic rates of return are stationary

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  • Haberman, Steven
  • Sung, Joo-Ho

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  • Haberman, Steven & Sung, Joo-Ho, 2005. "Optimal pension funding dynamics over infinite control horizon when stochastic rates of return are stationary," Insurance: Mathematics and Economics, Elsevier, vol. 36(1), pages 103-116, February.
    • Handle: RePEc:eee:insuma:v:36:y:2005:i:1:p:103-116
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    References listed on IDEAS

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    1. Haberman, S., 1994. "Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme," Insurance: Mathematics and Economics, Elsevier, vol. 14(3), pages 219-240, July.
    2. M. Iqbal Owadally & Haberman Steven, 2004. "Efficient Gain and Loss Amortization and Optimal Funding in Pension Plans," North American Actuarial Journal, Taylor & Francis Journals, vol. 8(1), pages 21-36.
    3. Haberman, S. & Sung, Joo-Ho, 2002. "Dynamic Programming Approach to Pension Funding: the Case of Incomplete State Information," ASTIN Bulletin, Cambridge University Press, vol. 32(1), pages 129-142, May.
    4. Cairns, Andrew, 2000. "Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time," ASTIN Bulletin, Cambridge University Press, vol. 30(1), pages 19-55, May.
    5. Haberman, Steven & Sung, Joo-Ho, 1994. "Dynamic approaches to pension funding," Insurance: Mathematics and Economics, Elsevier, vol. 15(2-3), pages 151-162, December.
    6. Haberman, Steven & Butt, Zoltan & Megaloudi, Chryssoula, 2000. "Contribution and solvency risk in a defined benefit pension scheme," Insurance: Mathematics and Economics, Elsevier, vol. 27(2), pages 237-259, October.
    7. M. Iqbal Owadally & Steven Haberman, 1999. "Pension Fund Dynamics and Gains/Losses Due to Random Rates of Investment Return," North American Actuarial Journal, Taylor & Francis Journals, vol. 3(3), pages 105-117.
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    Citations

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    Cited by:

    1. Peter Vlaar, 2005. "Defined Benefit Pension Plans and Regulation," DNB Working Papers 063, Netherlands Central Bank, Research Department.
    2. Maurer, Raimond & Mitchell, Olivia S. & Rogalla, Ralph, 2009. "Managing contribution and capital market risk in a funded public defined benefit plan: Impact of CVaR cost constraints," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 25-34, August.
    3. Josa-Fombellida, Ricardo & Navas, Jorge, 2020. "Time consistent pension funding in a defined benefit pension plan with non-constant discounting," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 142-153.
    4. Ayşegül İşcanog̃lu-Çekiç, 2016. "An Optimal Turkish Private Pension Plan with a Guarantee Feature," Risks, MDPI, vol. 4(3), pages 1-12, June.
    5. Josa-Fombellida, Ricardo & Rincón-Zapatero, Juan Pablo, 2012. "Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes," European Journal of Operational Research, Elsevier, vol. 220(2), pages 404-413.
    6. 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.
    7. Gabay, Daniel & Grasselli, Martino, 2012. "Fair demographic risk sharing in defined contribution pension systems," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 657-669.
    8. Hainaut, Donatien, 2014. "Impulse control of pension fund contributions, in a regime switching economy," European Journal of Operational Research, Elsevier, vol. 239(3), pages 810-819.
    9. Delong, Lukasz & Gerrard, Russell & Haberman, Steven, 2008. "Mean-variance optimization problems for an accumulation phase in a defined benefit plan," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 107-118, February.
    10. Yonghui Huang & Qingda Wei & Xianping Guo, 2013. "Constrained Markov decision processes with first passage criteria," Annals of Operations Research, Springer, vol. 206(1), pages 197-219, July.
    11. Juan González-Hernández & Raquiel López-Martínez & J. Pérez-Hernández, 2007. "Markov control processes with randomized discounted cost," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 65(1), pages 27-44, February.
    12. Samuel H. Cox & Yijia Lin & Ruilin Tian & Jifeng Yu, 2013. "Managing Capital Market and Longevity Risks in a Defined Benefit Pension Plan," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(3), pages 585-620, September.

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