Optimal Contribution and Investment in a Defined Benefit Pension Plan Under the Expected Shortfall Constraint

• Autorzy: Hong Mao , Krzysztof M. Ostaszewski , Yuling Wang , Zhongkai Wen
• Języki publikacji: EN

Abstrakty

EN

Pension valuation has been an important topic of study and public policy in the recent decades. The cost of pensions is an increasingly important, and often contentious, issue in politics, and an important consideration in financial affairs of governments, firms and individuals. The issue has been the subject of many policy debates, as well as specific studies produced by major international organizations, such as OECD), or World Bank but those studies did not provide specific quantitative models for monitoring and predictive modelling. However, there exists substantial quantitative modelling work in the literature, as well. Sundare- san and Zapatero (1997) used a worker's lifetime marginal productivity schedule and discussed the optimal asset allocation with a defined benefit pension plan. They provided an objective function for the sponsor in an utility maximizing framework, in which the sponsor was assumed to be risk averse. Cairns (2000) discussed a continuous-time stochastic pension fund model in which there were n risky assets plus the risk-free asset, as well as randomness in the level of benefit outgo. The model proposed considered Markov control strategies which optimized over the contribution rate and over the range of possible asset-allocation strategies. Battocchio and Menoncin (2004) considered a stochastic model for a defined-contribution pension fund in continuous time.(fragment of text)

Słowa kluczowe

PL

Emerytury; Koszty; Polityka społeczna państwa; Polityka finansowa państwa

EN

Pensions; Costs; State social policy; State financial policy

• Czasopismo: Scientific Publications / University of Economics in Katowice
• Rocznik: 2016
• Tom: Public Risk Management. T. 1, Perspective of Theory and Practice
• Strony: 153-171

Twórcy

autor

Hong Mao

• Shanghai Second Polytechnic University

autor

Krzysztof M. Ostaszewski

• Illinois State University

autor

Yuling Wang

• Shanghai University of Finance and Economics, China

autor

Zhongkai Wen

• University of Illinois at Chicago, United States of America

Bibliografia

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