Stability of pension systems when rates of return are random
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Publication:1116622
DOI10.1016/0167-6687(89)90049-8zbMath0666.62105OpenAlexW2019004778WikidataQ127205807 ScholiaQ127205807MaRDI QIDQ1116622
Publication date: 1989
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-6687(89)90049-8
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Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme ⋮ Sustainability of participation in collective pension schemes: an option pricing approach ⋮ Stability of pension systems when gains/losses are amortized and rates of return are autoregressive ⋮ Stochastic pension fund modelling ⋮ The present value of a stochastic perpetuity and the gamma distribution ⋮ Bounds for present value functions with stochastic interest rates and stochastic volatility. ⋮ Stochastic control of funding systems. ⋮ Allocating unfunded liability in pension valuation under uncertainty. ⋮ Pension funding incorporating downside risks. ⋮ Weak convergence of random growth processes with applications to insurance ⋮ Interest and mortality randomness in some annuities ⋮ Efficient Gain and Loss Amortization and Optimal Funding in Pension Plans ⋮ Pension Fund Dynamics and Gains/Losses Due to Random Rates of Investment Return ⋮ Pension funding with time delays. A stochastic approach ⋮ On the control of defined-benefit pension plans ⋮ Optimal pension funding through dynamic simulations: The case of Taiwan public employees retirement system ⋮ Pension funding with time delays and autoregressive rates of investment return
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