Pension funding with time delays and autoregressive rates of investment return
type: Item
instance of: scholarly article
title: Pension funding with time delays and autoregressive rates of investment return
zbMATH Open document ID: 0789.62087
DOI: 10.1016/0167-6687(93)90534-V
author: Steven Haberman
published in: Insurance Mathematics \& Economics
publication date: 1994-03-27T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 540714
zbMATH Keywords: feedback delays
zbMATH Keywords: recursive formulae
zbMATH Keywords: pension funding methods
zbMATH Keywords: first-order autoregressive process
zbMATH Keywords: fund level
zbMATH Keywords: time delay
zbMATH Keywords: contribution rate
zbMATH Keywords: nonlinear time series
zbMATH Keywords: autoregressive rate of return
zbMATH Keywords: expectations
zbMATH Keywords: variability of fund
zbMATH Keywords: moments
MaRDI profile type: Publication
cites work: Stability of pension systems when rates of return are random
cites work: Stability of pension systems when gains/losses are amortized and rates of return are autoregressive
cites work: Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme
cites work: Pension funding with time delays. A stochastic approach
cites work: Theory of difference equations: Numerical methods and applications
description: scientific article; zbMATH DE number 540714