Stability of pension systems when gains/losses are amortized and rates of return are autoregressive

DOI10.1016/0167-6687(95)00028-3zbMath0914.62089OpenAlexW1979671149WikidataQ127306344 ScholiaQ127306344MaRDI QIDQ1921984

Steven Haberman, Russell Gerrard

Publication date: 23 June 1999

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

Full work available at URL: https://doi.org/10.1016/0167-6687(95)00028-3

zbMATH Keywords

nonlinear time seriesautoregressive multiplicative noisefunding with autoregressive rates of return

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 (6)

Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme ⋮ Moving average rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme ⋮ Stochastic control of funding systems. ⋮ Allocating unfunded liability in pension valuation under uncertainty. ⋮ Pension funding incorporating downside risks. ⋮ Pension funding with time delays and autoregressive rates of investment return

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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