A Class of Non-Stationary Reward Processes with Applications to Pension Accumulation

DOI10.1080/03461238.1993.10413914MaRDI QIDQ3142175zbMATH OpenOpenAlexFDO

Authors Izzet Sahin

Publication date 5 April 1994

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.1993.10413914

zbMATH Keywords

momentsdistributionsnonstationary generalizations of renewal reward processessojourn time problemsU.S. private pension systemwork life pension benefits

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov renewal processes, semi-Markov processes (60K15) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

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Cites work

• scientific article; zbMATH DE number 3223982 (Why is no real title available?)
• A stochastic theory of pension dynamics
• Calculation of the cost of warranty policies as a function of estimated life distributions
• Cumulative constrained sojourn times in semi-Markov processes with an application to pensionable service

Cited in

(4)

• Transient results for a high demand CCRC model
• A realistic non-homogeneous stochastic pension fund model on scenario basis
• A Stochastic Model for Pensionable Service
• The persistent-transitory representation for earnings processes

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