Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9552797 | Insurance: Mathematics and Economics | 2005 | 20 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Luigi Colombo, Steven Haberman,