Optimal benefits, contributions, and asset allocation for a PAYG system with reserve fund under equity, longevity, and unemployment risks

2026/07/01 by Sander van Eekelen, Frank van Berkum, Torsten Kleinow +1

paper · doi:10.1016/j.insmatheco.2026.103273

crossref created 2026/06/30 · crossref issued 2026/07/01 · crossref published 2026/07/01 · crossref published-print 2026/07/01 · crossref deposited 2026/08/05 · crossref indexed 2026/08/05

Citations

• Transforming public pensions: A mixed scheme with a credit granted by the state
• Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach
• Option pricing: A simplified approach
• An Exact Consumption-Loan Model of Interest with or without the Social Contrivance of Money