Pension funding with time delays and autoregressive rates of investment return

DOI10.1016/0167-6687(93)90534-VzbMath0789.62087MaRDI QIDQ1318549

Steven Haberman

Publication date: 27 March 1994

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

zbMATH Keywords

momentstime delayexpectationsnonlinear time seriescontribution ratefeedback delaysrecursive formulaefirst-order autoregressive processvariability of fundautoregressive rate of returnfund levelpension funding methods

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Dynamic approaches to pension funding ⋮ Harmonic analysis of pension funding methods ⋮ Stochastic pension fund modelling ⋮ Moving average rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme ⋮ Allocating unfunded liability in pension valuation under uncertainty. ⋮ Pension funding incorporating downside risks. ⋮ Optimal premium policy of an insurance firm: full and partial information ⋮ Optimal pension funding through dynamic simulations: The case of Taiwan public employees retirement system

Cites Work

• Stability of pension systems when rates of return are random
• Theory of difference equations: Numerical methods and applications
• Pension funding with time delays. A stochastic approach
• Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme
• Stability of pension systems when gains/losses are amortized and rates of return are autoregressive