Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme

DOI10.1016/0167-6687(94)90779-XzbMath0808.62097OpenAlexW2059828372MaRDI QIDQ1336889

Steven Haberman

Publication date: 6 November 1994

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

Full work available at URL: https://doi.org/10.1016/0167-6687(94)90779-x

zbMATH Keywords

autoregressive rates of returncomparison of pension funding methodsoptimal spread period

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (20)

Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme ⋮ Dynamic approaches to pension funding ⋮ Harmonic analysis of pension funding methods ⋮ Stability of pension systems when gains/losses are amortized and rates of return are autoregressive ⋮ Stochastic investment returns and contribution rate risk in a defined benefit pension scheme ⋮ Stochastic pension fund modelling ⋮ Moving average rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme ⋮ Unnamed Item ⋮ An investigation of the theory of bank portfolio allocation within a discrete stochastic framework using optimal control techniques ⋮ Stochastic control of funding systems. ⋮ Allocating unfunded liability in pension valuation under uncertainty. ⋮ Pension funding incorporating downside risks. ⋮ Efficient Gain and Loss Amortization and Optimal Funding in Pension Plans ⋮ Pension Fund Dynamics and Gains/Losses Due to Random Rates of Investment Return ⋮ Optimal pension funding dynamics over infinite control horizon when stochastic rates of return are stationary ⋮ Pension funding with time delays. A stochastic approach ⋮ On the control of defined-benefit pension plans ⋮ 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 ⋮ Benefit uncertainty and default risk in pension plans

Cites Work

• Unnamed Item
• 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
• Stability of pension systems when gains/losses are amortized and rates of return are autoregressive

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