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Allocating unfunded liability in pension valuation under uncertainty

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  • Chang, Shih-Chieh
  • Chen, Chiang-Chu

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  • Chang, Shih-Chieh & Chen, Chiang-Chu, 2002. "Allocating unfunded liability in pension valuation under uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 30(3), pages 371-387, June.
    • Handle: RePEc:eee:insuma:v:30:y:2002:i:3:p:371-387
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    References listed on IDEAS

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    1. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    2. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    3. Bédard, Diane, 1999. "Stochastic Pension Funding: Proportional Control and Bilinear Processes," ASTIN Bulletin, Cambridge University Press, vol. 29(2), pages 271-293, November.
    4. Cairns, Andrew J. G. & Parker, Gary, 1997. "Stochastic pension fund modelling," Insurance: Mathematics and Economics, Elsevier, vol. 21(1), pages 43-79, October.
    5. M. Iqbal Owadally & Steven Haberman, 1999. "Pension Fund Dynamics and Gains/Losses Due to Random Rates of Investment Return," North American Actuarial Journal, Taylor & Francis Journals, vol. 3(3), pages 105-117.
    6. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(4), pages 627-627, November.
    7. Mandl, Petr & Mazurova, Lucie, 1996. "Harmonic analysis of pension funding methods," Insurance: Mathematics and Economics, Elsevier, vol. 17(3), pages 203-214, April.
    8. Haberman, Steven, 1997. "Stochastic investment returns and contribution rate risk in a defined benefit pension scheme," Insurance: Mathematics and Economics, Elsevier, vol. 19(2), pages 127-139, April.
    9. 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, Elsevier, vol. 14(3), pages 219-240, July.
    10. Chang, Shih-Chieh, 1999. "Optimal pension funding through dynamic simulations: the case of Taiwan public employees retirement system," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 187-199, May.
    11. Haberman, Steven, 1993. "Pension funding with time delays and autoregressive rates of investment return," Insurance: Mathematics and Economics, Elsevier, vol. 13(1), pages 45-56, September.
    12. Bowers, Newton Jr. & Hickman, James C. & Nesbitt, Cecil J., 1982. "Notes on the dynamics of pension funding," Insurance: Mathematics and Economics, Elsevier, vol. 1(4), pages 261-270, October.
    13. Cairns, Andrew, 2000. "Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time," ASTIN Bulletin, Cambridge University Press, vol. 30(1), pages 19-55, May.
    14. Dufresne, Daniel, 1989. "Stability of pension systems when rates of return are random," Insurance: Mathematics and Economics, Elsevier, vol. 8(1), pages 71-76, March.
    15. Haberman, Steven, 1992. "Pension funding with time delays : A stochastic approach," Insurance: Mathematics and Economics, Elsevier, vol. 11(3), pages 179-189, October.
    16. Gerrard, R. & Haberman, S., 1996. "Stability of pension systems when gains/losses are amortized and rates of return are autoregressive," Insurance: Mathematics and Economics, Elsevier, vol. 18(1), pages 59-71, May.
    17. Haberman, Steven & Lam, Yuk Patrick & Wong, 1997. "Moving average rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme," Insurance: Mathematics and Economics, Elsevier, vol. 20(2), pages 115-135, September.
    18. Hull, John C & White, Alan D, 1987. "The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
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    Cited by:

    1. John Board & Charles Sutcliffe, 2007. "Joined-Up Pensions Policy in the UK: An Asset-Liability Model for Simultaneously Determining the Asset Allocation and Contribution Rate," Economic Analysis, Institute of Economic Sciences, vol. 40(3-4), pages 87-118.
    2. Chang, S. C. & Tzeng, Larry Y. & Miao, Jerry C. Y., 2003. "Pension funding incorporating downside risks," Insurance: Mathematics and Economics, Elsevier, vol. 32(2), pages 217-228, April.

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