A stochastic-dynamic approach to pension funding

DOI10.1016/0167-6687(86)90038-7zbMath0587.62191OpenAlexW2139521833MaRDI QIDQ1072322

Thomas J. O'Brien

Publication date: 1986

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(86)90038-7

zbMATH Keywords

first and second momentsfund ratioLyapunov type methodsstochastic-dynamic pension fund model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic stability in control theory (93E15)

Related Items (9)

The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding ⋮ Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings ⋮ A two-parameter family of pension contribution functions and stochastic optimization ⋮ Stochastic investment returns and contribution rate risk in a defined benefit pension scheme ⋮ Moving average rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme ⋮ Stochastic control of funding systems. ⋮ Pension funding incorporating downside risks. ⋮ Pension schemes as options on pension fund assets: implications for pension fund management ⋮ Optimal pension funding through dynamic simulations: The case of Taiwan public employees retirement system

Cites Work

• Notes on the dynamics of pension funding
• Optimal Discounted Stochastic Control for Diffusion Processes
• Unnamed Item

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