Stability of pension systems when rates of return are random
Consider a funded pension plan, and suppose actuarial gains or losses are amortized over a fixed number of years. The paper aims at assessing how contributions (C) and fund levels (F) are affected when the rates of return of the plan's assets form an i.i.d. sequence of random variables. This is achieved by calculating the mean and variance of \(C_ t\) and \(F_ t\) for \(t\leq \infty\).
scientific article; zbMATH DE number 4090654