This paper introduces a target benefit pension (TBP) model that incorporates longevity risk and stochastic interest rate. Previous models have not considered the dynamic nature of remaining lifetime, and this paper proposes an Ornstein-Uhlenbeck (OU) process to simulate average remaining...

This paper studies the optimal investment and benefit adjustment problem for a collective DC pension plan under longevity trend. We assume that the mortality hazard rate is a function of age and time, which extends the Makeham's Law and can describe the longevity trend. The contribution rate is...

In this paper, we consider the optimal investment and contribution adjustment problem for a multi-cohorts DB pension plan in an environment with parameter uncertainty. Preferences towards risk and ambiguity are modeled using the smooth ambiguity approach. Since the pension trustee is ambiguous...

This paper studies the optimal investment and benefit adjustment problem for a collective DC (CDC) pension plan in an environment with parameter uncertainty. We propose a smooth ambiguity framework to model the pension trustee's preferences towards risk and ambiguity. Since the pension trustee...