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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/13003

    Title: Realistic Pension Funding: A Stochastic Approach
    Authors: 張士傑
    Keywords: contributions;control theory;dynamic programming;performance measure
    Date: 1999
    Issue Date: 2008-12-08 11:09:01 (UTC+8)
    Abstract: The process funding pension plans is viewed as a dynamic control process. Two performance measures are introduced to evaluate the effectiveness of plan contributions: the cost-induced performance measure (CIPM) and the ratio-induced performance measure (RIPM). A dynamic programming approach is used to determining the optimal contributions with the objective of minimizing the performance measure. The methodology developed is applied to a sample of members of Taiwan's Public Employees Pension Plan (Tai-PERS). We show that RIPM produces more stable results than those using CIPM.
    Relation: Journal of Actuarial Practice,8,5-42
    Data Type: article
    Appears in Collections:[風險管理與保險學系 ] 期刊論文

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