Efficient Gain and Loss Amortization and Optimal Funding in Pension Plans

DOI10.1080/10920277.2004.10596126MaRDI QIDQ5715950zbMATH OpenOpenAlexFDO

Authors M. Iqbal Owadally, Steven Haberman

Publication date 6 January 2006

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://openaccess.city.ac.uk/id/eprint/12998/15/Owadally%20%20Efficient%20gain%20and%20loss%20amortization.pdf

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Pension Fund Dynamics and Gains/Losses Due to Random Rates of Investment Return
• Stochastic pension fund modelling
• Optimal risk management in defined benefit stochastic pension funds
• Stability of pension systems when gains/losses are amortized and rates of return are autoregressive
• scientific article; zbMATH DE number 2069338

Cites work

• A two-parameter family of pension contribution functions and stochastic optimization
• Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme
• Dynamic approaches to pension funding
• Stability of pension systems when rates of return are random

Cited in

(18)

• Pension funding. The effect of changing the frequency of valuations
• Stability of pension systems when gains/losses are amortized and rates of return are autoregressive
• Optimal pension funding dynamics over infinite control horizon when stochastic rates of return are stationary
• Optimal contributions in a defined benefit pension scheme with stochastic new entrants
• Investing for retirement through a with-profits pension scheme: a client's perspective
• scientific article; zbMATH DE number 1995607 (Why is no real title available?)
• scientific article; zbMATH DE number 2069338 (Why is no real title available?)
• Exponential smoothing methods in pension funding
• The Management of Decumulation Risks in a Defined Contribution Pension Plan
• Efficiency of institutional spending and investment rules
• Risk-sharing and benefit smoothing in a hybrid pension plan
• The Treatment of Assets in Pension Funding
• Pension Fund Dynamics and Gains/Losses Due to Random Rates of Investment Return
• Downside risk management of a defined benefit plan considering longevity basis risk
• Managing contribution and capital market risk in a funded public defined benefit plan: impact of CVaR cost constraints
• Optimal additional voluntary contribution in DC pension schemes to manage inadequacy risk
• Benefit uncertainty and default risk in pension plans
• Stochastic pension fund control in the presence of Poisson jumps

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