A stochastic simulation procedure for pension schemes
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Publication:1117660
DOI10.1016/0167-6687(88)90072-8zbMath0667.62073OpenAlexW2086126223MaRDI QIDQ1117660
Publication date: 1988
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-6687(88)90072-8
Software, source code, etc. for problems pertaining to statistics (62-04) Applications of statistics to actuarial sciences and financial mathematics (62P05) Probabilistic models, generic numerical methods in probability and statistics (65C20) Probabilistic methods, stochastic differential equations (65C99)
Related Items (4)
Stochastic model to evaluate the fair value of motor third-party liability under the direct reimbursement scheme and quantification of the capital requirement in a Solvency II perspective ⋮ Pension funding incorporating downside risks. ⋮ A realistic non-homogeneous stochastic pension fund model on scenario basis ⋮ Optimal pension funding through dynamic simulations: The case of Taiwan public employees retirement system
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