A Portfolio Model for the Risk Management in Public Pension

Tadashi Uratani ()
Additional contact information
Tadashi Uratani: Hosei University, Faculty of Engineering and Science

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2014, pp 183-186 from Springer

Abstract: 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.

Keywords: Pension; Risk management; Martingale (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-05014-0_41

Ordering information: This item can be ordered from
http://www.springer.com/9783319050140

DOI: 10.1007/978-3-319-05014-0_41

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().