Stability of pension systems when gains/losses are amortized and rates of return are autoregressive

Insurance: Mathematics and Economics

Volumn 18, Issue 1, 1996, Pages 59-71

  Gerrard, R ^a   Haberman, S ^a  

^a CITY UNIVERSITY   (United Kingdom)

Author keywords

Autoregressive multiplicative noise; Funding with autoregressive rates of return; Non linear time series

Indexed keywords

EID: 0030138294     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/0167-6687(95)00028-3     Document Type: Article

References (5)

1. Dufresne, D. (1988). Moments of pension contributions and fund levels when rates of return are random. Journal of the Institute of Actuaries 115, 535-544.
2. Dufresne, D. (1989). Stability of pension systems when rates of return are random. Insurance: Mathematics and Economics 8, 71-76.
3. Haberman, S. (1990). Stochastic approach to pension funding methods. Proceedings of First AFIR Colloquium, Paris, Volume 4, 93-112.
4. Haberman, S. (1991). Pension funding methods and autoregressive interest rate models. Proceedings of Second AFIR Colloquium, Brighton, Volume 2, 181-204.
5. Haberman, S. (1994). Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme. Insurance: Mathematics and Economics 14, 219-240.