Stability of pension systems when rates of return are random. (English) Zbl 0666.62105
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 \(t\leq \infty\).
MSC:
| 62P05 | Applications of statistics to actuarial sciences and financial mathematics |
References:
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| [3] | Dufresne, D., The Dynamics of Pension Funding (1986), The City University: The City University London, Ph.D. thesis · Zbl 0606.62123 |
| [4] | Dufresne, D., Moments of pension fund contributions and fund levels when rates of return are random, The Journal of the Institute of Actuaries, 115, 535-544 (1988) |
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