Stability of pension systems when rates of return are random

DOI10.1016/0167-6687(89)90049-8MaRDI QIDQ1116622zbMATH OpenOpenAlexWikidataFDO

Authors 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)

Recommendations

• scientific article; zbMATH DE number 3980326
• Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme
• Pension Fund Dynamics and Gains/Losses Due to Random Rates of Investment Return
• Pension funding with time delays. A stochastic approach
• Moving average rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme

Cited in

(19)

• Pension funding with time delays and autoregressive rates of investment return
• Pension funding with time delays. A stochastic approach
• Stability of pension systems when gains/losses are amortized and rates of return are autoregressive
• Pension funding incorporating downside risks.
• Stochastic control of funding systems.
• Weak convergence of random growth processes with applications to insurance
• Efficient Gain and Loss Amortization and Optimal Funding in Pension Plans
• Sustainability of participation in collective pension schemes: an option pricing approach
• The optimal rate of return for defined contribution pension systems in a stochastic framework
• Interest and mortality randomness in some annuities
• The present value of a stochastic perpetuity and the gamma distribution
• Pension Fund Dynamics and Gains/Losses Due to Random Rates of Investment Return
• Stochastic pension fund modelling
• Allocating unfunded liability in pension valuation under uncertainty.
• On the control of defined-benefit pension plans
• Bounds for present value functions with stochastic interest rates and stochastic volatility.
• Optimal pension funding through dynamic simulations: The case of Taiwan public employees retirement system
• Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme
• scientific article; zbMATH DE number 3980326 (Why is no real title available?)

This page was built for publication: Stability of pension systems when rates of return are random

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1116622)