کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9552797 | 1374149 | 2005 | 20 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Optimal contributions in a defined benefit pension scheme with stochastic new entrants
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
This paper focuses on the impact of the stochastic evolution of the active membership population on the mismatch between assets and liabilities of a defined benefit pension scheme. Classical results in the actuarial literature on pension plan population theory have been extended to the stochastic case. The paper formulates the trade-off between risk and cost of contribution strategies. Then, using a constrained nonlinear programming approach, optimal contributions strategies have been derived and the trade-off solved by means of identifying an efficient frontier. Finally, a numerical application has been carried out, showing the inefficiency of certain classical normal cost methods.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 37, Issue 2, 18 October 2005, Pages 335-354
Journal: Insurance: Mathematics and Economics - Volume 37, Issue 2, 18 October 2005, Pages 335-354
نویسندگان
Luigi Colombo, Steven Haberman,