Stochastic pension fund modelling

Insurance: Mathematics and Economics

Volumn 21, Issue 1, 1997, Pages 43-79

  Cairns, Andrew J G ^a   Parker, Gary ^b  

^a HERIOT WATT UNIVERSITY   (United Kingdom)

^b Genesis Development Company Ltd   (Canada)

Author keywords

Ar(1) model; Conditional distribution; Efficient frontier; Ergodic theorem; Stochastic rates of return; Valuation rate of interest

Indexed keywords

EID: 0031591988     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(97)00018-8     Document Type: Article

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