Pension funding with time delays. A stochastic approach

DOI10.1016/0167-6687(92)90025-7zbMATH Open0764.62090OpenAlexW1561858509MaRDI QIDQ1209474FDOQ1209474

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

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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)

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 (15)

• Pension funding with time delays and autoregressive rates of investment return
• Title not available (Why is that?)
• Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme
• Allocating unfunded liability in pension valuation under uncertainty.
• Harmonic analysis of pension funding methods
• Pension Fund Dynamics and Gains/Losses Due to Random 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
• A Stochastic Model for Pensionable Service
• Title not available (Why is that?)
• Optimal pension funding through dynamic simulations: The case of Taiwan public employees retirement system
• Stability of pension systems when rates of return are random
• A stochastic-dynamic approach to pension funding
• Pension funding incorporating downside risks.

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