Harmonic analysis of pension funding methods

DOI10.1016/0167-6687(96)90000-1zbMath0853.62083OpenAlexW2079385078MaRDI QIDQ1921974

Lucie Mazurová, Petr Mandl

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

zbMATH Keywords

spectral decompositionstationary random sequencesdiscounted cash flowsvariancespension fundingfund levelautoregressive random sequencesbenefit pension schemegroup funding methodrandomly fluctuating rates of return

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15)

Related Items (4)

Allocating unfunded liability in pension valuation under uncertainty. ⋮ Pension funding incorporating downside risks. ⋮ On the control of defined-benefit pension plans ⋮ Optimal contributions in a defined benefit pension scheme with stochastic new entrants

Cites Work

• Pension funding with time delays. A stochastic approach
• Pension funding with time delays and autoregressive rates of investment return
• Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme
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