A data driven Neural Network (NN) optimization framework is proposed to determine optimal asset allocation during the accumulation phase of a defined contribution pension scheme. In contrast to parametric model based solutions computed by a partial differential equation approach, the proposed...

When a firm sponsoring a defined benefit pension plan approaches financial distress, the Pension Benefit Guaranty Corporation (PBGC) insurance effect materializes and the optimal pension portfolio policy becomes aggressive. In this configuration, a regulation restricting the pension investment...

In this article we consider the post-retirement phase optimization problem for a specific pension product in Germany that comes without guarantees. The continuous-time optimization problem is defined consisting of two specialties: first, we have a product-specific pension adjustment mechanism...

We determine the optimal asset allocation to bonds and stocks using an Annually Recalculated Virtual Annuity (ARVA) spending rule for DC pension plan decumulation. Our objective function minimizes downside withdrawal variability for a given fixed value of total expected withdrawals. The optimal...

This work studies a stochastic optimal control problem for a pension scheme which provides an income-drawdown policy to its members after their retirement. To manage the scheme efficiently, the manager and members agree to share the investment risk based on a pre-decided risk-sharing rule. The...

Accounting for pension obligations has been co-evolving with political and financial economic strategies aimed to prompt and promote active financial markets and institutional investors, as well as transnational harmonisation and convergence of accounting standards between private and public...

Cash contributions to defined benefit pension (DB) plans reduce cash flows from operations without directly affecting the current year's net income. We utilize this unique setting to investigate how managerial incentives to report higher cash flows from operations, executive compensation in...

I explore the role of corporate social responsibility (CSR) in mitigating managers' opportunistic behavior related to defined benefit (DB) pension plan management. Strong CSR firms tend to engage less in earnings manipulation associated with executive option granting and CFO's pay sensitivity to...