UN MODELO PARA EL SISTEMA PENSIONAL DE RETIRO PROGRAMADO, CON TASAS DE RENDIMIENTO SEG UN UNA CADENA DE MARKOV EN TIEMPO CONTINUO A MODEL FOR A PROGRAMMED RETIREMENT PENSION SCHEME, WITH INTEREST RATES ACCORDING TO A CONTINUOUS TIME MARKOV CHAIN

The aim of this work is to study several aspects of the programmed retirement scheme, one of the three systems that currently conform the RAI or private saving pension system. For this purpose a stochastic model that describes the evolution of the individual account of a pensioner under this system, which allows one to answer a few key points about its performance. The model consists of a stochastic dierential equation which is solved by the application of stochastic calculus with semimartingales. A basic