Abstract
In the context of the decumulation phase of a defined benefit pension scheme, the aim of this paper is to describe the management of a pension provider which has to minimize a default probability and to maximize the expected surplus. Its management strategy is based on the possibility of change the risk level (i.e. the volatility of random returns) of the investment at an optimum time.
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Colivicchi, I., Piscopo, G., Vannucci, E. (2014). Dynamic Strategies for Defined Benefit Pension Plans Risk Management. In: Corazza, M., Pizzi, C. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer, Cham. https://doi.org/10.1007/978-3-319-02499-8_10
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DOI: https://doi.org/10.1007/978-3-319-02499-8_10
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-02498-1
Online ISBN: 978-3-319-02499-8
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