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

actuarial gainsactuarial lossesmeanpension fundingrandom rates of returnvariance

Mathematics Subject Classification ID

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

Review text

Consider a funded pension plan, and suppose actuarial gains or losses are amortized over a fixed number of years. The paper aims at assessing how contributions (C) and fund levels (F) are affected when the rates of return of the plan's assets form an i.i.d. sequence of random variables. This is achieved by calculating the mean and variance of \(C_ t\) and \(F_ t\) for \(t\leq \infty\).

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. A stochastic approach
• 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
• Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme
• 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.
• Stability of pension systems when gains/losses are amortized and rates of return are autoregressive
• Sustainability of participation in collective pension schemes: an option pricing approach
• On the control of defined-benefit pension plans
• scientific article; zbMATH DE number 3980326 (Why is no real title available?)
• The optimal rate of return for defined contribution pension systems in a stochastic framework
• Efficient Gain and Loss Amortization and Optimal Funding in Pension Plans
• Pension Fund Dynamics and Gains/Losses Due to Random Rates of Investment Return
• Weak convergence of random growth processes with applications to insurance
• Interest and mortality randomness in some annuities

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)