Efficient Gain and Loss Amortization and Optimal Funding in Pension Plans

DOI10.1080/10920277.2004.10596126zbMath1085.62509OpenAlexW2093695277MaRDI QIDQ5715950

M. Iqbal Owadally, Steven Haberman

Publication date: 6 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/12998/15/Owadally%20%20Efficient%20gain%20and%20loss%20amortization.pdf

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 (9)

Managing contribution and capital market risk in a funded public defined benefit plan: impact of CVaR cost constraints ⋮ Risk-Sharing and Benefit Smoothing in A Hybrid Pension Plan ⋮ Optimal pension funding dynamics over infinite control horizon when stochastic rates of return are stationary ⋮ Downside Risk Management of a Defined Benefit Plan Considering Longevity Basis Risk ⋮ Stochastic pension fund control in the presence of Poisson jumps ⋮ Investing for retirement through a with-profits pension scheme: a client's perspective ⋮ Optimal contributions in a defined benefit pension scheme with stochastic new entrants ⋮ The Management of Decumulation Risks in a Defined Contribution Pension Plan ⋮ Benefit uncertainty and default risk in pension plans

Cites Work

• A two-parameter family of pension contribution functions and stochastic optimization
• 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
• Dynamic approaches to pension funding

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