2024-03-29T11:41:26Zhttp://uvadoc.uva.es/oai/requestoai:uvadoc.uva.es:10324/417512022-06-28T08:03:56Zcom_10324_1151com_10324_931com_10324_894col_10324_1278
Josa Fombellida, Ricardo
909c2356a1143737
600
0000-0001-7872-4621
Navas, Jorge
1984a47d-db90-49eb-8b01-bce3fbda0584
500
2020-07-30T19:47:37Z
2020-07-30T19:47:37Z
2020
Insurance: Mathematics and Economics, 2020, 13 páginas (resto pendiente de asignar)
http://uvadoc.uva.es/handle/10324/41751
10.1016/j.insmatheco.2020.07.007
Producción Científica
We consider the time consistent management of a defined benefit stochastic pension plan where the participants have different rates of time preference and the fund manager collects this heterogeneity when discounting the future. The main objective is to select the amortization rate and the investment strategy minimizing both the contribution rate risk and the solvency risk. The problem is formulated as a stochastic control problem with non-constant rate of discount and is solved analytically by means of the dynamic programming approach and the technical interest rate is selected in order to keep stable the fund evolution within prescribed targets. A numerical illustration shows a comparative of the stability of the fund assets and the rate of contribution for a convex combination of exponential functions as discount function and for the constant discount case.
Junta de Castilla y León (projects VA056A09 y VA148G18)
Ministerio de Economía y Competitividad (projects ECO2014-6056384-P, ECO2017-86261-P, ECO2013-48248P and ECO2017-6382227P)
application/pdf
spa
Elsevier
info:eu-repo/semantics/openAccess
Time consistent pension funding in a defined benefit pension plan with non-constant discounting
info:eu-repo/semantics/article
info:eu-repo/semantics/draft
SI
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pensiones-no-cte_last.pdf.jpg
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f8c0e64bcee0f5df04b5a1154c20bfbf
MD5
3
LICENSE
license.txt
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https://uvadoc.uva.es/bitstream/10324/41751/2/license.txt
017313583e37a1e4d1253e1ef6c66c6c
MD5
2
ORIGINAL
pensiones-no-cte_last.pdf
pensiones-no-cte_last.pdf
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https://uvadoc.uva.es/bitstream/10324/41751/1/pensiones-no-cte_last.pdf
04d92936b3ae41531b6ced4ce381160d
MD5
1
10324/41751
oai:uvadoc.uva.es:10324/41751
2022-06-28 10:03:56.726
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repositorio@uva.es
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