Dynamic Funding and Investment Strategy for Defined Benefit Pension Schemes: A Model Incorporating Asset-Liability Matching Criteria
2002
- 298Usage
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Citation Benchmarking is provided by Scopus and SciVal and is different from the metrics context provided by PlumX Metrics.
Metrics Details
- Usage298
- Downloads241
- Abstract Views57
Article Description
This paper studies the dynamic funding policy and investment strategy for defined benefit pension plans using one of the most comprehensive dynamic pension models to date. The model includes three investable assets: one risk free and two risky. The optimal plan decisions are formulated as a stochastic control problem that is solved using dynamic programming. The objective function uses performance measures to take into account the stability and solvency of the plan. The model is then applied to a Taiwanese pension.
Bibliographic Details
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