dc.contributor.author
Roch, Oriol
dc.date.issued
2020-10-02T10:16:14Z
dc.date.issued
2020-10-02T10:16:14Z
dc.identifier
https://hdl.handle.net/2445/170984
dc.description.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
dc.format
application/pdf
dc.publisher
Universitat de Barcelona. Facultat d'Economia i Empresa
dc.relation
UB Economics – Working Papers, 2020, E20/402
dc.relation
[WP E-Eco20/402]
dc.rights
cc-by-nc-nd, (c) Roch, 2020
dc.rights
http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.rights
info:eu-repo/semantics/openAccess
dc.source
UB Economics – Working Papers [ERE]
dc.subject
Envelliment de la població
dc.subject
Seguretat social
dc.subject
Population aging
dc.subject
Social security
dc.title
Continuous-time Optimal Pension Indexing in Pay-as-You-Go Systems
dc.type
info:eu-repo/semantics/workingPaper
