Pension funding with time delays. A stochastic approach

DOI10.1016/0167-6687(92)90025-7MaRDI QIDQ1209474zbMATHOpenAlexFDO

Authors 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 delayexpectationscontribution ratefeedback delaysindependent, identically distributed random variablescomparison of different pension funding methodsrates of returnvariability of fund

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(19)

• Pension funding with time delays and autoregressive rates of investment return
• A stochastic-dynamic approach to pension funding
• Entrance times of random walks: with applications to pension fund modeling
• Pension funding incorporating downside risks.
• A Stochastic Model for Pensionable Service
• Delay, feedback and variability of pension contributions and fund levels
• Stability of pension systems when rates of return are random
• Pension Fund Dynamics and Gains/Losses Due to Random Rates of Investment Return
• Costs study through a diffusion process of pensions funds held with an outside financing effort
• 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.
• A mathematical model of pension fund operation and methods of fund stability analysis
• Searching for answers to the maintenance problem of insufficiently financed, financially dependent pension funds thorugh stochastic diffusion processes
• scientific article; zbMATH DE number 2099702 (Why is no real title available?)
• Harmonic analysis of pension funding methods
• 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?)

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