In recent years the study of the optimum management of pension plans is a main issue. The two principal alternatives in the design of pension plans are the defined contribution plan and the defined benefit plan. The aim of this paper is to study a stochastic model both for investment returns and income dynamics in order to propose a contribution strategy that allows fixed substitution rates. The control strategy is based on the definition of a temporal grid defining the times at which it is possible to change the level of the contribution (expressed through a ratio of the annual salary), according to the temporal information flow and inside pre-definite bounds. Numerical simulations in order to show some sensitivity analysis on featuring variables are provided.

A dynamic control strategy for pension plans in a stochastic framework / I.Colivicchi; S.Mulinacci; E.Vannucci. - In: GIORNALE DELL'ISTITUTO ITALIANO DEGLI ATTUARI. - ISSN 0390-5780. - STAMPA. - 72(2009), pp. 23-35.

A dynamic control strategy for pension plans in a stochastic framework

COLIVICCHI, ILARIA;
2009

Abstract

In recent years the study of the optimum management of pension plans is a main issue. The two principal alternatives in the design of pension plans are the defined contribution plan and the defined benefit plan. The aim of this paper is to study a stochastic model both for investment returns and income dynamics in order to propose a contribution strategy that allows fixed substitution rates. The control strategy is based on the definition of a temporal grid defining the times at which it is possible to change the level of the contribution (expressed through a ratio of the annual salary), according to the temporal information flow and inside pre-definite bounds. Numerical simulations in order to show some sensitivity analysis on featuring variables are provided.
72
23
35
I.Colivicchi; S.Mulinacci; E.Vannucci
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/2158/387891
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