Stochastic investment returns and contribution rate risk in a defined benefit pension scheme
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Publication:1381148
DOI10.1016/S0167-6687(96)00019-4zbMath0901.90012WikidataQ127807424 ScholiaQ127807424MaRDI QIDQ1381148
Publication date: 17 March 1998
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
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Related Items (13)
Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings ⋮ Unnamed Item ⋮ Fair demographic risk sharing in defined contribution pension systems ⋮ Minimization of risks in pension funding by means of contributions and portfolio selection. ⋮ Allocating unfunded liability in pension valuation under uncertainty. ⋮ Optimal DB-PAYGO pension management towards a habitual contribution rate ⋮ Managing contribution and capital market risk in a funded public defined benefit plan: impact of CVaR cost constraints ⋮ Mean-variance investment and contribution decisions for defined benefit pension plans in a stochastic framework ⋮ Downside Risk Management of a Defined Benefit Plan Considering Longevity Basis Risk ⋮ Optimal risk management in defined benefit stochastic pension funds ⋮ Contribution and solvency risk in a defined benefit pension scheme ⋮ On the control of defined-benefit pension plans ⋮ Optimal Dynamic Control for the Defined Benefit Pension Plans with Stochastic Benefit Outgo
Cites Work
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- A stochastic-dynamic approach to pension funding
- Stochastic discounting
- Pension funding with time delays. A stochastic approach
- 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
- Dynamic approaches to pension funding
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