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On the interface between optimal periodic and continuous dividend strategies in the presence of transaction costs

 
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<title>On the interface between optimal periodic and continuous dividend strategies in the presence of transaction costs</title>
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<namePart>Tu, Vicent</namePart>
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<namePart>Wong, Bernard</namePart>
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<dateIssued encoding="marc">2016</dateIssued>
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<abstract displayLabel="Summary">The notional defined contribution pension scheme combines pay-as-you-go financing and a defined contribution pension formula. The return on contributions is based on an index set by law, such as the growth rate of GDP, average wages or contribution payments. The volatility of this return compromises the system's pension adequacy and therefore guarantees may be needed. Here, we provide a minimum return guarantee to the pension contributions. The price is calculated in a utility indifference framework. We obtain a closed-form solution for a general dependence structure with exponential preferences and in presence of stochastic short interest rates.</abstract>
<note type="statement of responsibility">Benjamin Avanzi, Vicent Tu and Bernard Wong</note>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
<identifier type="local">MAP20077000420</identifier>
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<text>01/09/2016 Volumen 46 Número 3 - septiembre 2016 , p. 677-707</text>
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