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Document Details : Title: Dynamic Programming Approach to Pension Funding: the Case of Incomplete State Information Author(s): HABERMAN, S. , SUNG, J.-H. Journal: ASTIN Bulletin Volume: 32 Issue: 1 Date: May 2002 Pages: 129-142 DOI: 10.2143/AST.32.1.1019 Abstract : Haberman and Sung (1994) have presented a dynamic model for a defined benefit occupational pension scheme which considered two types of risk: the “contribution rate” and the “solvency” risk. The current paper extends this work by deriving optimal funding control procedures for determining the contribution rate for the case of a stochastic model with incomplete state information, making use of the separation principle. The stochastic inputs modelled are the investment returns and the benefit outgo. |
