A DYNAMIC CONTROL STRATEGY FOR PENSION PLANS IN A STOCHASTIC FRAMEWORK

In re cent year s th e stu d y o f the op timum ma n agement of p en sion plan s is a m ain is sue. T he two p rincip al a lt ern at ive s in th e d es ign o f p en sion plan s are th e d eÞ n ed c o nt r ib u t io n p la n a n d th e d e Þ n ed b eneÞt plan. T h e a im o f th is p ap e r is to s tu d y a s to ch a st ic mo d e l b o th fo r inve s tm ent r e tu rn s an d in c ome d yn amic s in o rd e r to p ro p ose a co nt rib u tio n s t rat egy th a t al low s Þ xed su b s t it u tion r a te s . T he control s t rat eg y is b ased on th e d eÞ n ition o f a temp o ra l g r id d e Þ n in g th e time s at w hich it is p o ss ib le to ch an g e th e le vel o f th e cont rib u t ion ( ex p r es sed th rou g h a ra t io o f th e an nu a l sa la ry ), a cco rd in g to th e t em p o ra l in fo rma t ion ß ow a n d in s id e p re -d e Þ n it e b ou n d s. Numer ical simu lat io n s in ord e r to sh ow som e sens itivity a nalys is o n fe atu ring variab les are prov id e d .