Pension Funding with Moving Average Rates of Return

DOI10.1080/034612301750077275zbMath0971.91040OpenAlexW2110384419MaRDI QIDQ2739850

Daniel Dufresne, Diane Bédard

Publication date: 16 September 2001

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/034612301750077275

zbMATH Keywords

bilinear processMarkovian representationpension fundingactuarial loss

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05)

Related Items (1)

Approximations for the distribution of perpetuities with small discount rates

Cites Work

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• Weak convergence of random growth processes with applications to insurance
• Bilinear Markovian representation and bilinear models
• Random coefficient autoregressive models: an introduction
• The mixing property of bilinear and generalised random coefficient autoregressive models
• DIFFERENT REPRESENTATIONS FOR BILINEAR MODELS
• Stability in a Random Coefficient Model

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