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Article

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Published version

Publication date

2022-05

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cc-by (c) Roch, Oriol, 2022
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/191079

Continuous-time optimal pension indexing in pay-as-you-go systems

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https://doi.org/10.1002/asmb.2670

Abstract

An aging population and the economic crisis have placed pay-as-you-go pension systems in need of mechanisms to ensure their financial stability. In this article, 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, Crisi monetària, Pensions a la vellesa

Subject (English)

Population aging, Currency crises, Old age pensions

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Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial)

Citation

ROCH, Oriol. Continuous-time optimal pension indexing in pay-as-you-go systems. Applied Stochastic Models in Business and Industry. 2022. Vol. 38, num. 3, pags. 458-474. ISSN 1524-1904. [consulted: 11 of June of 2026]. Available at: https://hdl.handle.net/2445/191079

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