Harmonic analysis of pension funding methods
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Publication:1921974
DOI10.1016/0167-6687(96)90000-1zbMath0853.62083MaRDI QIDQ1921974
Publication date: 9 January 1997
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-6687(96)90000-1
spectral decomposition; stationary random sequences; discounted cash flows; variances; pension funding; fund level; autoregressive random sequences; benefit pension scheme; group funding method; randomly fluctuating rates of return
62P05: Applications of statistics to actuarial sciences and financial mathematics
62M15: Inference from stochastic processes and spectral analysis
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Cites Work