Stability of pension systems when rates of return are random

DOI10.1016/0167-6687(89)90049-8zbMath0666.62105OpenAlexW2019004778WikidataQ127205807 ScholiaQ127205807MaRDI QIDQ1116622

Daniel Dufresne

Publication date: 1989

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

Full work available at URL: https://doi.org/10.1016/0167-6687(89)90049-8

zbMATH Keywords

meanvarianceactuarial gainsactuarial lossespension fundingrandom rates of return

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (17)

Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme ⋮ Sustainability of participation in collective pension schemes: an option pricing approach ⋮ Stability of pension systems when gains/losses are amortized and rates of return are autoregressive ⋮ Stochastic pension fund modelling ⋮ The present value of a stochastic perpetuity and the gamma distribution ⋮ Bounds for present value functions with stochastic interest rates and stochastic volatility. ⋮ Stochastic control of funding systems. ⋮ Allocating unfunded liability in pension valuation under uncertainty. ⋮ Pension funding incorporating downside risks. ⋮ Weak convergence of random growth processes with applications to insurance ⋮ Interest and mortality randomness in some annuities ⋮ Efficient Gain and Loss Amortization and Optimal Funding in Pension Plans ⋮ Pension Fund Dynamics and Gains/Losses Due to Random Rates of Investment Return ⋮ Pension funding with time delays. A stochastic approach ⋮ On the control of defined-benefit pension plans ⋮ Optimal pension funding through dynamic simulations: The case of Taiwan public employees retirement system ⋮ Pension funding with time delays and autoregressive rates of investment return

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