Stochastic pension fund modelling

DOI10.1016/S0167-6687(97)00018-8zbMath0919.62118OpenAlexW2031710658MaRDI QIDQ1381473

Andrew J. G. Cairns, Gary Parker

Publication date: 5 September 1999

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

Full work available at URL: https://doi.org/10.1016/s0167-6687(97)00018-8

zbMATH Keywords

ergodic theoremconditional distributionefficient frontierAR(1) modelstochastic rates of returnvaluation rate of interest

Mathematics Subject Classification ID

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

Related Items

Unnamed Item ⋮ Fair demographic risk sharing in defined contribution pension systems ⋮ Allocating unfunded liability in pension valuation under uncertainty. ⋮ Pension funding incorporating downside risks. ⋮ Risk-Sharing and Benefit Smoothing in A Hybrid Pension Plan ⋮ Contribution and solvency risk in a defined benefit pension scheme ⋮ Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time ⋮ Optimal investment decisions with a liability: the case of defined benefit pension plans ⋮ On the control of defined-benefit pension plans ⋮ Stochastic analysis of life insurance surplus ⋮ Benefit uncertainty and default risk in pension plans

Cites Work

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