Στοχαστικός βέλτιστος έλεγχος σε επενδυτικές στρατηγικές συνταξιοδοτικών σχημάτων
An optimal policy of a pension fund using stochastic optimal control of annuity contracts
Λώλου, Παρασκευή Γ.
KeywordsΣυντάξεις ; Συνταξιοδότηση ; Στοχαστικά μοντέλα ; Ράντες πληρωμών ; Ράντες ζωής ; Συνταξιοδοτικά σχήματα ; Στοχαστικός έλεγχος
This dissertation is about various plans of pension calculation by the use of stochastic optimal control. Specifically, we demonstrate how the above theory of control is applied in investment strategies before and after retirement. The analysis of these issues is carried out via mathematical approach, after firstly introducing the basic theories of certain payment annuities and random life annuities. Basic principles of random annuities are described, as the calculation of the actuarial present value which is one of the most important measures for a pension plan. Moreover, the theory of stochastic processes is presented together with the stochastic differential equations, since those theories are directly connected with the randomness of pension payments. The stochastic approach in the annuity payments is examined, as well as the stochastic best practice before and after retirement. Finally, the most widely used pension schemes are described and some useful examples of them are given.