KJCKorea
Journal Central

@article{ART001101167},
author={Sung Jooho},
title={A Long-term Amortizing Strategy for Stationary Pension Fund Solvency},
journal={Journal of Insurance and Finance},
issn={2384-3209},
year={2004},
volume={15},
number={1},
pages={67-95}

TY - JOUR
AU - Sung Jooho
TI - A Long-term Amortizing Strategy for Stationary Pension Fund Solvency
JO - Journal of Insurance and Finance
PY - 2004
VL - 15
IS - 1
PB - Korea Insurance Research Institute
SP - 67
EP - 95
SN - 2384-3209
AB - In a defined benefit pension plan, the benefits to be paid out to qualified members are defined according to pre-determined benefit formula. Hence, funding and investment strategy plays a key role in managing pension plans. In this research, we focus on deriving an optimal spread pension funding plan in view of the long-term and going concern valuation basis. In general, the spread funding plan has such a meaning as a process of allocating pension costs smoothingly in a systematic and rational manner. Recently, one of the critical issues in pension profession is how to design the pension funding plan providing simultaneously the pension contribution stability and fund solvency in a defined benefit pension plan. This paper could give an efficient and admissible solution to this issue in view of optimal control. Methodology used in this paper is that firstly, a model is used to represent the financial cash-flow structure of a defined benefit pension plan; secondly, ultimate mean-variance model is derived in view of optimal control theory; and lastly, we adopt the nonlinear programming approach for optimal solution. Our results would be a new application of control theory and an admissible extension to the current pension funding theory and practice.
KW - Spread (Pension Funding) Method;Mean-Variance Model;Control Theory;Nonlinear Programming;Contribution Rate Risk;Solvency Risk;Global Minimum Variance Portfolio.
DO -
UR -
ER -

Sung Jooho. (2004). A Long-term Amortizing Strategy for Stationary Pension Fund Solvency. Journal of Insurance and Finance, 15(1), 67-95.

Sung Jooho. 2004, "A Long-term Amortizing Strategy for Stationary Pension Fund Solvency", Journal of Insurance and Finance, vol.15, no.1 pp.67-95.

Sung Jooho "A Long-term Amortizing Strategy for Stationary Pension Fund Solvency" Journal of Insurance and Finance 15.1 pp.67-95 (2004) : 67.

Sung Jooho. A Long-term Amortizing Strategy for Stationary Pension Fund Solvency. 2004; 15(1), 67-95.

Sung Jooho. "A Long-term Amortizing Strategy for Stationary Pension Fund Solvency" Journal of Insurance and Finance 15, no.1 (2004) : 67-95.

Sung Jooho. A Long-term Amortizing Strategy for Stationary Pension Fund Solvency. Journal of Insurance and Finance, 15(1), 67-95.

Sung Jooho. A Long-term Amortizing Strategy for Stationary Pension Fund Solvency. Journal of Insurance and Finance. 2004; 15(1) 67-95.

Sung Jooho. A Long-term Amortizing Strategy for Stationary Pension Fund Solvency. 2004; 15(1), 67-95.

Sung Jooho. "A Long-term Amortizing Strategy for Stationary Pension Fund Solvency" Journal of Insurance and Finance 15, no.1 (2004) : 67-95.