A stochastic-dynamic approach to pension funding (Q1072322)
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scientific article; zbMATH DE number 3942876
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A stochastic-dynamic approach to pension funding |
scientific article; zbMATH DE number 3942876 |
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A stochastic-dynamic approach to pension funding (English)
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1986
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A stochastic-dynamic pension fund model is introduced via a stochastic differential equation in the variable, \(X_ t\), representing the fund ratio. The process \(X_ t\) is analyzed by Lyapunov type methods and also the first and second moments of the process are computed. The advantages of these two methods of analysis are discussed.
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stochastic-dynamic pension fund model
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fund ratio
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Lyapunov type methods
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first and second moments
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