Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time

By Andrew J. G. Cairns. ASTIN Bulletin: The Journal of the International Actuarial Association, 2000

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Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase (2001, methodology): “The model incorporates three control variables: variables that must be set by either the pension plan member or the provider for each period in the model.”
Minimization of risks in pension funding by means of contributions and portfolio selection (2001, background): “This result is in contrast with Boulier et al. (1995) and Cairns (2000).”
On efficiency of mean–variance based portfolio selection in defined contribution pension schemes (2014, methodology): “Examples of this approach can be found, for instance, in Haberman and Sung (1994), Boulier et al. (1995, 1996) and Cairns (2000) for defined benefit pension funds, and in Haberman and Vigna (2002) and Gerrard et al. (2004, 2012) for defined contribution pension schemes.”
Optimal investment choices post-retirement in a defined contribution pension scheme (2004, unknown): “Findlater (1999) and Wadsworth, Findlater and Boardman (2001) propose a product for the post- retirement period (the second paper being a more detailed exposition of the product) in which pensioners have flexibility in the way that they invest the fund and withdraw money, as in the drawdown option, ”