<abstract xmlns="http://www.w3.org/1999/xhtml">This paper deals with the problem of the optimal rate of return to be paid by a defined contribution pension system to its participants’ savings, namely the rate that achieves the goal of the most favorable returns on their contributions jointly with the sustainability of the pension system.We consider defined contribution pension systems provided with a funded component, and for their study we use the “theory of the logical sustainability of pension systems” already developed in several previous works. In this paper, we focus on pension systems in a demographically stable state, whereas the productivity of the active participants and the financial rate of return on the pension system’s fund, rates that constitute the “ingredients” of the optimal rate of return on contributions, are modeled by two stochastic processes.We show that the decisional rule defining the optimal rate of return on contributions is optimal in the sense that it is effective in terms of sustainability, and also efficient in the sense that if the system pays to its participants’ contributions a rate of return that is either higher or lower than the one provided by the rule, then the pension system becomes unsustainable or overcapitalized, respectively.</abstract>

This paper deals with the problem of the optimal rate of return to be paid by a defined contribution pension system to its participants’ savings, namely the rate that achieves the goal of the most favorable returns on their contributions jointly with the sustainability of the pension system.We consider defined contribution pension systems provided with a funded component, and for their study we use the “theory of the logical sustainability of pension systems” already developed in several previous works. In this paper, we focus on pension systems in a demographically stable state, whereas the productivity of the active participants and the financial rate of return on the pension system’s fund, rates that constitute the “ingredients” of the optimal rate of return on contributions, are modeled by two stochastic processes.We show that the decisional rule defining the optimal rate of return on contributions is optimal in the sense that it is effective in terms of sustainability, and also efficient in the sense that if the system pays to its participants’ contributions a rate of return that is either higher or lower than the one provided by the rule, then the pension system becomes unsustainable or overcapitalized, respectively.

The optimal rate of return for defined contribution pension systems in a stochastic framework

Pure Mathematics and Applications

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

This paper deals with the problem of the optimal rate of return to be paid by a defined contribution pension system to its participants’ savings, namely the...

The optimal rate of return for defined contribution pension systems in a stochastic framework

Publié en ligne: 01 sept. 2018

Pages: 81 - 99

Reçu: 30 sept. 2017

DOI: https://doi.org/10.1515/puma-2015-0023

Mots clés
defined contribution pension system, logical sustainability model, stochastic rates, optimal rate of return

© 2018 Massimo Angrisani et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

The optimal rate of return for defined contribution pension systems in a stochastic framework

Publié en ligne: 01 sept. 2018

Pages: 81 - 99

Reçu: 30 sept. 2017

DOI: https://doi.org/10.1515/puma-2015-0023

Mots clésdefined contribution pension system, logical sustainability model, stochastic rates, optimal rate of return

© 2018 Massimo Angrisani et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Mots clés
defined contribution pension system, logical sustainability model, stochastic rates, optimal rate of return