Abstract
In this paper, we suggest strategies for a pension provider to avoid a loss of reputation due to possible pension reductions in the decumulation phase. In different settings, we determine optimal actions to keep the pension plan solvent, i.e. value of the assets always above the net present value of the pension liabilities. With this in mind, we solve suitable singular control problems. We show that, in expectation, the pension provider can cover the costs of the optimal action via sharing bonus payments with the policyholders.
Original language | English |
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Pages (from-to) | 52-68 |
Number of pages | 17 |
Journal | Insurance: Mathematics and Economics |
Volume | 109 |
Early online date | 16 Jan 2023 |
DOIs | |
Publication status | Published - Mar 2023 |
Keywords
- Collective Investment
- Pensions
- Reputational risk
- Retirement phase
- Risk
- Stochastic control
ASJC Scopus subject areas
- Statistics and Probability
- Economics and Econometrics
- Statistics, Probability and Uncertainty