2026-04-17T02:16:23Zhttps://recercat.cat/oai/request

oai:recercat.cat:2445/1910792025-12-05T05:57:06Zcom_2072_1057col_2072_478917col_2072_478919

urn:hdl:2445/191079 Continuous-time optimal pension indexing in pay-as-you-go systems Roch, Oriol Envelliment de la població Crisi monetària Pensions a la vellesa Population aging Currency crises Old age pensions An aging population and the economic crisis have placed pay-as-you-go pension systems in need of mechanisms to ensure their financial stability. In this article, 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. 2022-11-23T15:07:01Z 2022-11-23T15:07:01Z 2022-05 2022-11-23T15:07:01Z info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Reproducció del document publicat a: https://doi.org/10.1002/asmb.2670 Applied Stochastic Models in Business and Industry, 2022, vol. 38, num. 3, p. 458-474 https://doi.org/10.1002/asmb.2670 cc-by (c) Roch, Oriol, 2022 http://creativecommons.org/licenses/by/3.0/es/ info:eu-repo/semantics/openAccess John Wiley & Sons Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial)