Optimal control of defined benefit national pension plans = 확정급여형 국민연금의 최적 자산배분 및 보험료율

Cited 0 time in webofscience Cited 0 time in scopus
  • Hit : 188
  • Download : 0
This paper presents an optimization model of a defined benefit national pension plan problem given population changes. This paper also analyzes the optimal investment strategy and contribution policy using the dynamic programming approach. The objective of the problem is to minimize contribution to the fund as well as the fluctuation of fund level. Two sources of uncertainty are introduced in this paper, namely stochastic salary and risky-asset return. To observe changes in the optimal control of pension plans according to population structure, future populations are introduced in pension plan model as an exogenous variable. Analyzing the solutions of the problem according to various population structures is described via a case study based on real conditions in South Korea, and sensitivity to parameters is studied. According to the results of our case study, greater proportions of a fund should be invested in risky assets under a decreasing population scheme (as opposed to an increasing population scheme). Furthermore, the contribution rate has different directions for increasing and decreasing populations, though this rate converges to same value as that of the case study.
Advisors
Kim, Woo Changresearcher김우창researcher
Description
한국과학기술원 :산업및시스템공학과,
Publisher
한국과학기술원
Issue Date
2017
Identifier
325007
Language
eng
Description

학위논문(석사) - 한국과학기술원 : 산업및시스템공학과, 2017.2,[iv , 39 p. :]

Keywords

Dynamic programming; Stochastic control; Pension funding; National pension funds; Defined benefit; 동적 계획법; 확률적 제어; 국민연금; 확정급여형 연금; 연금 운용

URI
http://hdl.handle.net/10203/243026
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=675222&flag=dissertation
Appears in Collection
IE-Theses_Master(석사논문)
Files in This Item
There are no files associated with this item.

qr_code

  • mendeley

    citeulike


rss_1.0 rss_2.0 atom_1.0