Pension funding with time delays. A stochastic approach

DOI10.1016/0167-6687(92)90025-7zbMath0764.62090MaRDI QIDQ1209474

Steven Haberman

Publication date: 16 May 1993

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

Full work available at URL: https://doi.org/10.1016/0167-6687(92)90025-7

zbMATH Keywords

time delay; expectations; contribution rate; feedback delays; independent, identically distributed random variables; comparison of different pension funding methods; rates of return; variability of fund

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

Related Items

Pension Fund Dynamics and Gains/Losses Due to Random Rates of Investment Return, 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, Delay, feedback and variability of pension contributions and fund levels, Stochastic investment returns and contribution rate risk in a defined benefit pension scheme, Stochastic pension fund modelling, Allocating unfunded liability in pension valuation under uncertainty., Pension funding incorporating downside risks., Harmonic analysis of pension funding methods

Cites Work

• Stability of pension systems when rates of return are random
• Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme