Stability of pension systems when rates of return are random
type: Item
instance of: scholarly article
title: Stability of pension systems when rates of return are random
zbMATH Open document ID: 0666.62105
DOI: 10.1016/0167-6687(89)90049-8
author: Daniel Dufresne
published in: Insurance Mathematics \& Economics
publication date: 1989-01-01T00:00:00Z
review text: 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 \(t\leq \infty\).
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 4090654
zbMATH Keywords: pension funding
zbMATH Keywords: random rates of return
zbMATH Keywords: actuarial losses
zbMATH Keywords: actuarial gains
zbMATH Keywords: mean
zbMATH Keywords: variance
MaRDI profile type: Publication
full work available at URL: 0167-6687(89)90049-8
OpenAlex ID: W2019004778
cites work: Q5628505
cites work: Q3745131
Wikidata QID: Q127205807
description: scientific article; zbMATH DE number 4090654