A two factor stochastic model is introduced for the two phases of a defined-contribution pension scheme. During the accumulation phase of the pension, the scheme member invests part of their stochastic income in a portfolio of a risky stock and a bond in order to build up sufficient funds for...

In pay-as-you go pension systems, automatic balancing mechanisms (ABMs) are designed to face adverse demographic and economic changes. In this respect, ABMs can be defined as a set of pre-determined measures established by law to be applied immediately as required according to an indicator that...