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A Portfolio Model for the Risk Management in Public Pension

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

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  • Tadashi Uratani

    (Hosei University, Faculty of Engineering and Science)

Abstract

The financial viability of government pension plan implies that the reserve of pension fund should be positive in the demographic and economical environment change, under the condition that the income replacement ratio is more the given level. Assuming the market asset and the income for pension follows Ito processes and the population are modeled by cohort, we apply the martingale method of the optimal consumption and investment theory to guarantee the pension fund positivity.

Suggested Citation

  • Tadashi Uratani, 2014. "A Portfolio Model for the Risk Management in Public Pension," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 183-186, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-05014-0_41
    DOI: 10.1007/978-3-319-05014-0_41
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