# Periodic evaluation of defined-contribution pension fund: A dynamic risk measure approach

arXiv: https://arxiv.org/abs/2508.05241 · HTML: https://mlsanity.com/paper/2508.05241/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 5 of its 38 references that are in the map.
- First posted on arXiv 7 Aug 2025.

## Builds on (most cited first, 5 of 5)

- [Adam: A Method for Stochastic Optimization](https://mlsanity.com/paper/1412.6980/) (2014)
- [Policy Gradient and Actor-Critic Learning in Continuous Time and Space: Theory and Algorithms](https://mlsanity.com/paper/2111.11232/) (2021)
- [Policy Evaluation and Temporal-Difference Learning in Continuous Time and Space: A Martingale Approach](https://mlsanity.com/paper/2108.06655/) (2021)
- [Reinforcement Learning with Dynamic Convex Risk Measures](https://mlsanity.com/paper/2112.13414/) (2021)
- [Count Models Based on Weibull Interarrival Times](https://mlsanity.com/paper/1307.5759/) (2013)

## Abstract (arXiv)

This paper introduces an innovative framework for the periodic evaluation of defined-contribution pension funds. The performance of the pension fund is evaluated not only at retirement, but also within the interim periods. In contrast to the traditional literature, we set the dynamic risk measure as the criterion and manage the tail risk of the pension fund dynamically. To effectively interact with the stochastic environment, a model-free reinforcement learning algorithm is proposed to search for optimal investment and insurance strategies. Using U.S. data, we calibrate pension members' mortality rates and enhance mortality projections through a Lee-Carter model. Our numerical results indicate that periodic evaluations lead to more risk-averse strategies, while mortality improvements encourage more risk-seeking behaviors.