Centro de Documentacion de Fundación MAPFRE - On the interface between optimal periodic and continuous dividend strategies in the presence of transaction costs

MAP20160032482

On the interface between optimal periodic and continuous dividend strategies in the presence of transaction costs / Benjamin Avanzi, Vicent Tu and Bernard Wong

Sumario: 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

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/09/2016 Volumen 46 Número 3 - septiembre 2016 , p. 677-707

I. Tu, Vicent . II. Wong, Bernard . III. Título.