BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

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Mao Hong (Shanghai Second Polytechnic University), Ostaszewski Krzysztof M. (Illinois State University), Wang Yuling (Shanghai University of Finance and Economics, China), Wen Zhongkai (University of Illinois at Chicago, United States of America)
Optimal Contribution and Investment in a Defined Benefit Pension Plan Under the Expected Shortfall Constraint
Scientific Publications / University of Economics in Katowice. Public Risk Management. T. 1, Perspective of Theory and Practice, 2016, s. 153-171, wykr., tab.
Słowa kluczowe
Emerytury, Koszty, Polityka społeczna państwa, Polityka finansowa państwa
Pensions, Costs, Social policy, State financial policy
Pension valuation has been an important topic of study and public policy in the recent decades. The cost of pensions is an increasingly important, and often contentious, issue in politics, and an important consideration in financial affairs of governments, firms and individuals. The issue has been the subject of many policy debates, as well as specific studies produced by major international organizations, such as OECD), or World Bank but those studies did not provide specific quantitative models for monitoring and predictive modelling. However, there exists substantial quantitative modelling work in the literature, as well. Sundare- san and Zapatero (1997) used a worker's lifetime marginal productivity schedule and discussed the optimal asset allocation with a defined benefit pension plan. They provided an objective function for the sponsor in an utility maximizing framework, in which the sponsor was assumed to be risk averse. Cairns (2000) discussed a continuous-time stochastic pension fund model in which there were n risky assets plus the risk-free asset, as well as randomness in the level of benefit outgo. The model proposed considered Markov control strategies which optimized over the contribution rate and over the range of possible asset-allocation strategies. Battocchio and Menoncin (2004) considered a stochastic model for a defined-contribution pension fund in continuous time.(fragment of text)
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Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
  1. Antolin P. (2009): Private Pensions and the Financial Crisis: How to Ensure Adequate Retirement Income from DC Pension Plans. "OECD Journal Financial Markets Trends", Vol. 2, pp. 1-21.
  2. Battocchio P., Menoncin F. (2004): Optimal Pension Management in a Stochastic Framework. "Insurance: Mathematics and Economics", Vol. 34, pp. 79-95.
  3. Black D., Cairns A., Dowd K. (2001): Pensionmetrics: Stochastic Pension Plan Design and Value-at-Risk during the Accumulation Phrase. "Insurance: Mathematics and Economics", Vol. 29, pp. 187-215.
  4. Cairns A.J.G. (2000): Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time. "ASTIN Bulletin", Vol. 30, pp. 19-55.
  5. Holzmann P. (2012): Global Pensions Systems and Their Reform: Worldwide Drivers, Trends and Challeenges. Social Protection and Labor Discussion Paper, No. 1213, The World Bank, Washington, DC May 2012.
  6. Josa-Fombellida R., Rincón-Zapatero J.P. (2001): Minimization of Risks in Pension Funding by Means of Contribution and Portfolio Selection. "Insurance: Mathematics and Economics", Vol. 29, pp. 35-45.
  7. Josa-Fombellida R., Rincón-Zapatero J.P. (2004): Optimal Risk Management in Defined Benefit Stochastic Pension Funds. "Insurance: Mathematics and Economics", Vol. 34, pp. 489-503.
  8. Josa-Fombellida R., Rincón-Zapatero J.P. (2006): Optimal Investment Decisions with a Liability: The Case of Defined Benefit Pension Plans. "Insurance: Mathematics and Economics", Vol. 39, pp. 81-98.
  9. Josa-Fombellida R., Rincón-Zapatero J.P. (2008a): Funding and Investment Decisions in a Stochastic Defined Benefit Pension Plan with Several Levels of Labor-Income Earnings. "Computers and Operations Research", Vol. 35, pp. 47-63.
  10. Josa-Fombellida R., Rincón-Zapatero J.P. (2008b): Mean-Variance Portfolio and Contribution Selection in Stochastic Pension Funding. "European Journal of Operational Research", Vol. 187, pp. 120-137.
  11. Josa-Fombellida R., Rincón-Zapatero J.P. (2010): Optimal Asset Allocation for Aggregated Defined Benefit Pension Funds with Stochastic Interest Rates. "European Journal of Operational Research", Vol. 201, pp. 211-221.
  12. Keeley B., Love P. (2010): From Crisis to Recovery, Chapter 5. In: Pensions and the Crisis. OECD Insights, Paris, France.
  13. McCarthy D., Miles D. (2007): Optimal Portfolio Allocation for Pension Funds in the Presence of Background Risk. Unpublished manuscript, London School of Economics, London, UK.
  14. Sundaresan S., Zapatero F. (1997): Valuation, Optimal Asset Allocation and Retirement Incentives of Pension Plans. "Review of Financial Studies", Vol. 10, pp. 631-660.
  15. Vasicek O.A. (1977): An Equilibrium Characterization of the Term Structure. "Journal of Financial Economics", Vol. 5, pp. 177-188.
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