{"title":"Optimal management of DB pension fund under both underfunded and overfunded cases","authors":"Guohui Guan, Zongxia Liang, Yi Xia","doi":"10.1080/03461238.2023.2289372","DOIUrl":null,"url":null,"abstract":"This paper investigates the optimal management of an aggregated defined benefit pension plan in a stochastic environment. The interest rate follows the Ornstein-Uhlenbeck model, the benefits follow...","PeriodicalId":49572,"journal":{"name":"Scandinavian Actuarial Journal","volume":"1 1","pages":""},"PeriodicalIF":1.6000,"publicationDate":"2023-12-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Scandinavian Actuarial Journal","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/03461238.2023.2289372","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"MATHEMATICS, INTERDISCIPLINARY APPLICATIONS","Score":null,"Total":0}
引用次数: 0
Abstract
This paper investigates the optimal management of an aggregated defined benefit pension plan in a stochastic environment. The interest rate follows the Ornstein-Uhlenbeck model, the benefits follow...
期刊介绍：
Scandinavian Actuarial Journal is a journal for actuarial sciences that deals, in theory and application, with mathematical methods for insurance and related matters.
The bounds of actuarial mathematics are determined by the area of application rather than by uniformity of methods and techniques. Therefore, a paper of interest to Scandinavian Actuarial Journal may have its theoretical basis in probability theory, statistics, operations research, numerical analysis, computer science, demography, mathematical economics, or any other area of applied mathematics; the main criterion is that the paper should be of specific relevance to actuarial applications.
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