Optimal Management of the Pension Contribution Rate Using the <i>H</i><sub>∞</sub>-Control Theory

In this paper, we construct a general model for pension fund when there are time delays in the valuation process. Actually, use standard structure of basic reserve equation order to rebuild more sophisticated approach based on theory H∞ control. Our evaluates incomplete information from delayed valuations—due oscillatory pattern benefit claims and investment experience past years—within context uncertainty additionally randomness which certainly exists. So, estimations optimal proposed contribution rates feedback mechanism is robust stabilization controller, using typical linear matrix inequalities. Finally, numerical application fully investigated obtain further insight into problem.