Pension funding with time delays. A stochastic approach

DOI10.1016/0167-6687(92)90025-7zbMath0764.62090OpenAlexW1561858509MaRDI QIDQ1209474

Steven Haberman

Publication date: 16 May 1993

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(92)90025-7

zbMATH Keywords

time delayexpectationscontribution ratefeedback delaysindependent, identically distributed random variablescomparison of different pension funding methodsrates of returnvariability of fund

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (9)

Harmonic analysis of pension funding methods ⋮ Stochastic investment returns and contribution rate risk in a defined benefit pension scheme ⋮ Stochastic pension fund modelling ⋮ Allocating unfunded liability in pension valuation under uncertainty. ⋮ Pension funding incorporating downside risks. ⋮ Pension Fund Dynamics and Gains/Losses Due to Random Rates of Investment Return ⋮ 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 ⋮ Delay, feedback and variability of pension contributions and fund levels

Cites Work

• Stability of pension systems when rates of return are random
• Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme

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