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-XMaRDI QIDQ1336889zbMATH OpenOpenAlexFDO

Authors 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)

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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
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• Stability of pension systems when gains/losses are amortized and rates of return are autoregressive
• Stability of pension systems when rates of return are random

Cited in

(27)

• Stability of pension systems when rates of return are random
• Pension funding with time delays. A stochastic approach
• 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
• Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme
• 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
• Stochastic control of funding systems.
• Allocating unfunded liability in pension valuation under uncertainty.
• Pension funding incorporating downside risks.
• 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
• Optimal pension funding dynamics over infinite control horizon when stochastic rates of return are stationary
• On the control of defined-benefit pension plans
• An investigation of the theory of bank portfolio allocation within a discrete stochastic framework using optimal control techniques
• scientific article; zbMATH DE number 3980326 (Why is no real title available?)
• Pensionsrückstellungen: Mögliche Ansätze aus versicherungsmathematischer Sicht
• Designing a 401(k): A Case Study
• Pension Funding and the Actuarial Assumption Concerning Investment Returns
• scientific article; zbMATH DE number 2201574 (Why is no real title available?)
• Efficient Gain and Loss Amortization and Optimal Funding in Pension Plans
• Pension Fund Dynamics and Gains/Losses Due to Random Rates of Investment Return
• scientific article; zbMATH DE number 7646927 (Why is no real title available?)
• Benefit uncertainty and default risk in pension plans

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