Stochastic control model for pension fund management

被引：0
|
作者：
Shi, P [1 ]
Bai, MY [1 ]
机构：
[1] Beihang Univ, Sch Econ & Management, Beijing 100083, Peoples R China
来源：
ICIM' 2004: PROCEEDINGS OF THE SEVENTH INTERNATIONAL CONFERENCE ON INDUSTRIAL MANAGEMENT | 2004年
关键词：
stochastic control; asset-liability management; contribution risk; solvency risk;
D O I：
暂无
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
This paper discusses the optimization problem for pension fund management in a dynamic continuous-time stochastic model with a performance criterion dealing with the simultaneous minimization of the contribution rate risk and the solvency risk. A generic form of optimal investment strategy and optimal contribution policy is derived and the influences of various control parameters upon the optimal policies are analyzed.
引用
收藏
页码：520 / 524
页数：5
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