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Dynamic Programming Approach to Pension Funding: the Case of Incomplete State Information

Published online by Cambridge University Press:  29 August 2014

S. Haberman  and
Joo-Ho Sung
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Abstract

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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.

Keywords

Pension fundingdynamic programmingstochastic controlseparation principle
Type
Workshop
Information
ASTIN Bulletin: The Journal of the IAA , Volume 32 , Issue 1 , May 2002 , pp. 129 - 142
Copyright
Copyright © International Actuarial Association 2002

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