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

DOI10.1016/S0167-6687(97)00009-7zbMath0906.62111MaRDI QIDQ1382125

Patrick Lam Yuk Wong, Steven Haberman

Publication date: 2 June 1998

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

zbMATH Keywords

variability; pension funding methods; moving average rates of return

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

Related Items

Pension Fund Dynamics and Gains/Losses Due to Random Rates of Investment Return, Moving average 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., Pension funding incorporating downside risks.

Cites Work

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