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Dynamic Strategies for Defined Benefit Pension Plans Risk Management

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Ilaria Colivicchi

    (University of Florence, Department of Mathematics for Decisions)

  • Gabriella Piscopo

    (University of Genoa, Department of Economics)

  • Emanuele Vannucci

    (University of Pisa, Department of Statistics and Applied Mathematics)

Abstract

In the context of the decumulation phase of a defined benefit pension scheme, the aim of this paper is to describe the management of a pension provider which has to minimize a default probability and to maximize the expected surplus. Its management strategy is based on the possibility of change the risk level (i.e. the volatility of random returns) of the investment at an optimum time.

Suggested Citation

  • Ilaria Colivicchi & Gabriella Piscopo & Emanuele Vannucci, 2014. "Dynamic Strategies for Defined Benefit Pension Plans Risk Management," Springer Books, in: Marco Corazza & Claudio Pizzi (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 111-118, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-02499-8_10
    DOI: 10.1007/978-3-319-02499-8_10
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