Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates

In this paper we study the optimal management of an aggregated pension fund of defined benefit type, in the presence of a stochastic interest rate. We suppose that the sponsor can invest in a savings account, in a risky stock and in a bond with the aim of minimizing deviations of the unfunded actuarial liability from zero along a finite time horizon. We solve the problem by means of optimal stochastic control techniques and analyze the influence on the optimal solution of some of the parameters involved in the model.Both authors gratefully aknowledge financial support from Consejería de Educación y Cultura de la Junta de Castilla y León (Spain) under projects VA004B08 and VA099/04, and Spanish Ministerio de Ciencia y Tecnología and FEDER funds under project MTM2005-06534Publicad