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.File | Dimensione | Formato | |
---|---|---|---|
Colivicchi GIIA 2009.pdf
Accesso chiuso
Tipologia:
Versione finale referata (Postprint, Accepted manuscript)
Licenza:
Tutti i diritti riservati
Dimensione
119.38 kB
Formato
Adobe PDF
|
119.38 kB | Adobe PDF | Richiedi una copia |
I documenti in FLORE sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.