Continuous-time Optimal Pension Indexing in Pay-as-You-Go Systems

Oriol Roch
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Abstract

Ageing population and economic crisis have placed pay-as-you-go pension systems in need of mechanisms to ensure its financial stability. In this paper, 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.
现收现付系统中的连续时间最优养老金指数
人口老龄化和经济危机使现收现付养老金制度需要机制来确保其财务稳定。在本文中,我们考虑养老金的最优指数化作为一种工具来应对这些系统中通常发现的财务失衡。在随机连续时间框架下,利用动态规划技术,我们计算了最优养老金指数和最优投资组合策略,该策略以政府确定的指数和流动性目标为目标。给出了一个数值算例来说明结果。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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