Stochastic control of funding systems

Insurance: Mathematics and Economics

Volumn 30, Issue 3, 2002, Pages 323-350

  Taylor, Greg ^a,b  

^a Taylor Fry Consulting Actuaries   (Australia)

^b UNIVERSITY OF MELBOURNE   (Australia)

Author keywords

Dividend strategy; Funding; Stochastic control

Indexed keywords

EID: 0036338020     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(02)00107-5     Document Type: Article

References (20)

1. Stochastic Differential Equations Theory and Applications
2. A dynamic model for pension funds management
3. Optimizing investment and contribution policies of a defined benefit pension fund
4. Mathematical Methods in Risk Theory
5. Some notes on the dynamics and optimal control of stochastic pension fund models in continuous time
6. Su un' impostazione alterniva della teoria colletiva de rischio
7. Moments of pension fund contributions and fund levels when rates of return are random
8. Stability of pension systems when rates of return are random
9. Stability of pension systems when gains/losses are amortized and rates of return are autoregressive
10. Pension funding: The effect of changing the frequency of valuations
11. Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme
12. Dynamic approaches to pension funding
13. Contribution and solvency risk in a defined benefit pension scheme
14. A stochastic dynamic approach to pension funding
15. A two-parameter family of pension contribution functions and stochastic optimisation
16. Pension fund dynamics and gains/losses due to random rates of return
17. Optimal reinsurance and dividend payment strategies
18. Optimal control of funding, solvency and asset allocation for defined retirement benefits
19. Pension funding and optimal control
20. On optimum dividend payments and related problems