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E20-402_Roch.pdf (409.26 KB)

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Working paper

Publication date

2020

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cc-by-nc-nd, (c) Roch, 2020
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/170984

Continuous-time Optimal Pension Indexing in Pay-as-You-Go Systems

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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

Subject

Envelliment de la població, Pensions, Seguretat social

Subject (English)

Population aging, Pensions, Social security

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UB Economics – Working Papers [ERE]
Documents de treball (Matemàtica Econòmica, Financera i Actuarial)

Citation

ROCH, Oriol. Continuous-time Optimal Pension Indexing in Pay-as-You-Go Systems. UB Economics – Working Papers. 2020. Vol.  E20/402. [consulted: 9 of August of 2026]. Available at: https://hdl.handle.net/2445/170984

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