Please use this identifier to cite or link to this item:
http://hdl.handle.net/2445/170984
Title: | Continuous-time Optimal Pension Indexing in Pay-as-You-Go Systems |
Author: | Roch, Oriol |
Keywords: | Envelliment de la població Pensions Seguretat social Population aging Pensions Social security |
Issue Date: | 2020 |
Publisher: | Universitat de Barcelona. Facultat d'Economia i Empresa |
Series/Report no: | [WP E-Eco20/402] |
Abstract: | Ageing population and economic crisis have placed pay-as-you-go pension systems in need of mechanisms to ensure its financial stability. In this paper, we consider optimal indexing of pensions as an instrument to cope with the financial imbalances typically found in these systems. Using dynamic programming techniques in a stochastic continuous-time framework, we compute the optimal pension index and portfolio strategy that best target indexing and liquidity objectives determined by the government. A numerical example is provided to illustrate the results |
It is part of: | UB Economics – Working Papers, 2020, E20/402 |
URI: | http://hdl.handle.net/2445/170984 |
Appears in Collections: | Documents de treball (Matemàtica Econòmica, Financera i Actuarial) UB Economics – Working Papers [ERE] |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
E20-402_Roch.pdf | 409.26 kB | Adobe PDF | View/Open |
This item is licensed under a Creative Commons License