R. Josa-fombellida et Jp. Rincon-zapatero, Minimization of risks in pension funding by means of contributions and portfolio selection, INSUR MATH, 29(1), 2001, pp. 35-45
We consider a dynamic model of pension funding in a defined benefit plan of
an employment system. The prior objective of the sponsor of the pension pl
an is the determination of the contribution rate amortizing the unfunded ac
tuarial liability, in order to minimize the contribution rate risk and the
solvency risk. To this end, the promoter invest in a portfolio with n risky
assets and a risk-free security. The aim of this paper is to determine the
optimal funding behavior in this dynamic, stochastic framework. (C) 2001 E
lsevier Science B.V. All rights reserved.