何林,梁宗霞,袁冯毅——INSURANCE MATHEMATICS & ECONOMICS:Optimal DB-PAYGO pension management towards a habitual contribution rate
时间:2020-08-08
In this paper, we propose a new objective function, which reflects the costs of unstable contribution risk and discontinuity risk in DB-PAYGO pension system. The problem is to minimize the quadratic deviation between the actual contribution rate and a habitual target and the quadratic proportional deviation of the pension accumulation. A modified non-negative constraint of the contribution rate is added, which together with a stochastic habitual target process, causes difficulty in solving the m