Stability of pension systems when rates of return are random

DOI10.1016/0167-6687(89)90049-8zbMATH Open0666.62105OpenAlexW2019004778WikidataQ127205807 ScholiaQ127205807MaRDI QIDQ1116622FDOQ1116622

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

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zbMATH Keywords

meanvarianceactuarial gainsactuarial lossespension fundingrandom rates of return

Mathematics Subject Classification ID

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

Cites Work

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Cited In (19)

• Pension funding with time delays and autoregressive rates of investment return
• Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme
• Bounds for present value functions with stochastic interest rates and stochastic volatility.
• Weak convergence of random growth processes with applications to insurance
• The present value of a stochastic perpetuity and the gamma distribution
• Allocating unfunded liability in pension valuation under uncertainty.
• Pension Fund Dynamics and Gains/Losses Due to Random Rates of Investment Return
• Stochastic pension fund modelling
• Sustainability of participation in collective pension schemes: an option pricing approach
• Title not available (Why is that?)
• Stochastic control of funding systems.
• Stability of pension systems when gains/losses are amortized and rates of return are autoregressive
• The optimal rate of return for defined contribution pension systems in a stochastic framework
• Optimal pension funding through dynamic simulations: The case of Taiwan public employees retirement system
• Interest and mortality randomness in some annuities
• On the control of defined-benefit pension plans
• Pension funding with time delays. A stochastic approach
• Efficient Gain and Loss Amortization and Optimal Funding in Pension Plans
• Pension funding incorporating downside risks.

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