Heuristic Projections of Solvency and Contribution Risks Due to Non-Stationary Stochastic Rates of Return - in view of Optimal Pension Funding -

Sung Jooho

@article{ART000930437},
author={Sung Jooho},
title={Heuristic Projections of Solvency and Contribution Risks Due to Non-Stationary Stochastic Rates of Return - in view of Optimal Pension Funding -},
journal={Journal of Insurance and Finance},
issn={2384-3209},
year={2004},
volume={15},
number={3},
pages={61-92}

TY - JOUR
AU - Sung Jooho
TI - Heuristic Projections of Solvency and Contribution Risks Due to Non-Stationary Stochastic Rates of Return - in view of Optimal Pension Funding -
JO - Journal of Insurance and Finance
PY - 2004
VL - 15
IS - 3
PB - Korea Insurance Research Institute
SP - 61
EP - 92
SN - 2384-3209
AB - This study follows up the earlier works of Haberman & Sung (1994, 2002, 2004) who have adopted a dynamic approach to pension funding in order to control and harmonize simultaneously the contribution risk and the solvency risk, based on a linear stochastic dynamic system with a quadratic optimisation criterion (LQP problem). In contrast to these earlier works, we here consider funding plans for defined benefit mature pension schemes where the spread method is used to eliminate the solvency surpluses and deficiencies evaluated in relation to their own expecting funding targets. Moreover, we consider the infinite-time, non-stationary LQP optimisation control problem due to trending non-stationary rates of return, which is a theoretical extension of Sung (2003) dealing with deterministic approach. We note that it is insoluble but propose a heuristic optimisation procedure for solving this problem and then illustrate with a specific numerical projections of contribution and solvency risks.
KW - pension funding;infinite horizon LQP problem;spread method;dynamic programming;non-stationary stochastic process;solvency risk;contribution risk;heuristic projections.
DO -
UR -
ER -

Sung Jooho. (2004). Heuristic Projections of Solvency and Contribution Risks Due to Non-Stationary Stochastic Rates of Return - in view of Optimal Pension Funding -. Journal of Insurance and Finance, 15(3), 61-92.

Sung Jooho. 2004, "Heuristic Projections of Solvency and Contribution Risks Due to Non-Stationary Stochastic Rates of Return - in view of Optimal Pension Funding -", Journal of Insurance and Finance, vol.15, no.3 pp.61-92.

Sung Jooho "Heuristic Projections of Solvency and Contribution Risks Due to Non-Stationary Stochastic Rates of Return - in view of Optimal Pension Funding -" Journal of Insurance and Finance 15.3 pp.61-92 (2004) : 61.

Sung Jooho. Heuristic Projections of Solvency and Contribution Risks Due to Non-Stationary Stochastic Rates of Return - in view of Optimal Pension Funding -. 2004; 15(3), 61-92.

Sung Jooho. "Heuristic Projections of Solvency and Contribution Risks Due to Non-Stationary Stochastic Rates of Return - in view of Optimal Pension Funding -" Journal of Insurance and Finance 15, no.3 (2004) : 61-92.

Sung Jooho. Heuristic Projections of Solvency and Contribution Risks Due to Non-Stationary Stochastic Rates of Return - in view of Optimal Pension Funding -. Journal of Insurance and Finance, 15(3), 61-92.

Sung Jooho. Heuristic Projections of Solvency and Contribution Risks Due to Non-Stationary Stochastic Rates of Return - in view of Optimal Pension Funding -. Journal of Insurance and Finance. 2004; 15(3) 61-92.

Sung Jooho. Heuristic Projections of Solvency and Contribution Risks Due to Non-Stationary Stochastic Rates of Return - in view of Optimal Pension Funding -. 2004; 15(3), 61-92.

Sung Jooho. "Heuristic Projections of Solvency and Contribution Risks Due to Non-Stationary Stochastic Rates of Return - in view of Optimal Pension Funding -" Journal of Insurance and Finance 15, no.3 (2004) : 61-92.

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