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Full-Text Articles in Insurance
Dynamic Funding And Investment Strategy For Defined Benefit Pension Schemes: A Model Incorporating Asset-Liability Matching Criteria, Shih-Chieh Chang, Cheng-Hsien Tsai, Chia-Jung Tien, Chang-Ye Tu
Dynamic Funding And Investment Strategy For Defined Benefit Pension Schemes: A Model Incorporating Asset-Liability Matching Criteria, Shih-Chieh Chang, Cheng-Hsien Tsai, Chia-Jung Tien, Chang-Ye Tu
Journal of Actuarial Practice (1993-2006)
This paper studies the dynamic funding policy and investment strategy for defined benefit pension plans using one of the most comprehensive dynamic pension models to date. The model includes three investable assets: one risk free and two risky. The optimal plan decisions are formulated as a stochastic control problem that is solved using dynamic programming. The objective function uses performance measures to take into account the stability and solvency of the plan. The model is then applied to a Taiwanese pension.
Seeking The Profitability-Risk-Competitiveness Frontier Using A Genetic Algorithm, Ronnie Tan
Seeking The Profitability-Risk-Competitiveness Frontier Using A Genetic Algorithm, Ronnie Tan
Journal of Actuarial Practice (1993-2006)
Monte Carlo simulation is used to develop a flexible framework to measure the profitability, risk, and competitiveness of any insurance product. A genetic algorithm is then used to seek the optimum asset allocations that form the profitability-risk-competitiveness frontier and to examine the profitability, risk, and competitiveness trade-off's. We also show how to select the appropriate asset allocation and crediting strategy in order to position the product at the DeSired location on the profitability-risk-competitiveness spectrum.