Minimizing the benefit risk in a target benefit stochastic pension plan

• Autores: Ricardo Josa Fombellida , Paula López-Casado
• Localización: Anales de ASEPUMA, ISSN-e 2171-892X, Nº. 33, 2025
• Idioma: inglés
• Enlaces
  • Texto completo (pdf)
• Resumen
  • español

    En este artículo, estudiamos la gestión óptima de un plan de pensiones con beneficio objetivo. El gestor del fondo ajusta la prestación para garantizar la estabilidad del plan. El fondo se puede invertir en un activo sin riesgo y en uno con riesgo, donde la incertidumbre proviene de un movimiento Browniano. El gestor minimiza las desviaciones cuadráticas entre la prestación y el fondo terminal y sus valores objetivo. Un factor de ponderación que se incluye en el modelo indica la importancia de minimizar la desviación del valor final del fondo. Se considera y resuelve un problema de control estocástico mediante el enfoque de la programación dinámica.

    Las estrategias óptimas de prestación e inversión se determinan explícitamente y analizan, tanto en horizonte finito como infinito. Un interesante caso particular que recibe especial atención es cuando la contribución y los valores objetivos tienen forma exponencial.

  • English

    In this paper, we study the optimal management of a target benefit pension plan.

    The fund manager adjusts the benefit to guarantee the plan stability. The fund can be invested in a rissless asset and a risky asset where the uncertainty comes from Brownian motion process. The manager minimizes the quadratic deviations between benefit and terminal fund with respect to their target values. A weighting factor included in the model indicates the importance of minimizing the deviation of the terminal fund. A stochastic control problem is considered and solved by the programming dynamic approach. Optimal benefit and investment strategies are analytically found and analyzed, both in finite and infinite horizon. An interesting particular case that receives special attention is when the contribution and the targets have an exponential form.

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