Optimal investment strategy for defined contribution pension schemes

Insurance: Mathematics and Economics

Volumn 28, Issue 2, 2001, Pages 233-262

  Vigna, Elena ^a   Haberman, Steven ^b  

^a Umane diego Castro Fac E   (Italy)

^b CITY UNIVERSITY   (United Kingdom)

Author keywords

Annuitisation; Defined contribution pension scheme; Dynamic programming; Stochastic investment returns

Indexed keywords

EID: 0010697575     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(00)00077-9     Document Type: Article

References (17)

1. Arrow, K., 1970. Essays in the Theory of Risk Bearing. North-Holland, Amsterdam, pp. 90-120.
2. Bellman, R., Kalaba, R., 1965. Dynamic Programming and Modern Control Theory. Academic Press, New York.
3. Booth P., Yakoubov Y. Investment policy for defined contribution pension scheme members close to retirement: an analysis of the "lifestyle" concept. North American Actuarial Journal. 4(2):2000;1-19.
4. Cairns, A.J., 1996. An introduction to stochastic pension fund management. Discussion Paper PI-9607. The Pension Institute, Birbeck College, University of London, London, UK.
5. Cairns, A.J., 1997. A comparison of optimal and dynamic control strategies for continuous-time pension fund models. AFIR'97.
6. Cugno, F., Montrucchio, L., 1998. Scelte Intertemporali: Teoria e Modelli. Carocci, Roma.
7. Haberman S., Sung J.-H. Dynamic approaches to pension funding. Insurance: Mathematics and Economics. 15:1994;151-162.
8. Khorasanee M.Z. Simulation of investment returns for a money purchase fund. Journal of Actuarial Practice. 3(1):1995;93-115.
9. Khorasanee M.Z. Deterministic modelling of defined-contributions pension funds. North American Actuarial Journal. 1(4):1998;83-103.
10. Knox D.M. A critique of defined contribution plans using a simulation approach. Journal of Actuarial Practice. 1(2):1993;49-66.
11. Ludvik, P., 1994. Investment strategy for defined contribution plans. In: Proceedings of the Fourth AFIR International Colloquium, Vol. 3, pp. 1389-1400.
12. Owadally, M.J., 1998. The dynamics and control of pension funding. Ph.D. Thesis. City University, London, UK.
13. Sung, J.-H., 1997. Dynamic approaches to pension funding. Ph.D. Thesis, City University, London, UK.
14. Sze M. Discussion of David Knox's "a critique of defined contribution plans using a simulation approach" Journal of Actuarial Practice. 1(2):1993;67-68.
15. Thomson, R.J., 1998. The use of utility functions for investment channel choice in defined contribution retirement funds. In: Trans. 16th Conf. Int. Assoc. Cons. Act.
16. Thornton P.N., Wilson A.F. A realistic approach to pension funding. Journal of the Institute of Actuaries. 119:1992;229-286.
17. Vigna, E., 1999. Defined contribution pension schemes: optimal investment strategies. Tesi di Dottorato. Università degli Studi di Trieste, Italy.