Pension funding with time delays and autoregressive rates of investment return
From MaRDI portal
Publication:1318549
DOI10.1016/0167-6687(93)90534-VzbMath0789.62087MaRDI QIDQ1318549
Publication date: 27 March 1994
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
moments; time delay; expectations; nonlinear time series; contribution rate; feedback delays; recursive formulae; first-order autoregressive process; variability of fund; autoregressive rate of return; fund level; pension funding methods
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
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Cites Work
- Stability of pension systems when rates of return are random
- Theory of difference equations: Numerical methods and applications
- Pension funding with time delays. A stochastic approach
- Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme
- Stability of pension systems when gains/losses are amortized and rates of return are autoregressive
