Intertemporal Stable Pension Funding

Miao Jerry C.Y. and Wang Jennifer L.
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Miao Jerry C.Y.: Tamkang University, Taiwan
Wang Jennifer L.: National Chengchi University, Taiwan

Asia-Pacific Journal of Risk and Insurance, 2006, vol. 1, issue 2, 15

Abstract: This paper proposes a discrete dynamic programming model to maintain pension contribution in a stable level. By assuming an intertemporal stable contribution rate, we derive an algorithm to calculate the optimal contribution that requires less exogenous information and produces more stable results. Our simulation results further confirm that our model helps pension fund managers to make more stable contributions and further reduce the contribution risk for the defined benefit pension fund than the traditional algorithms do.

Keywords: Pension fund; dynamic programming; intertemporal stable condition; optimal contribution (search for similar items in EconPapers)
Date: 2006
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DOI: 10.2202/2153-3792.1009

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