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Stability of pension systems when rates of return are random

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  • Dufresne, Daniel

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  • 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.
    • Handle: RePEc:eee:insuma:v:8:y:1989:i:1:p:71-76
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    Citations

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    Cited by:

    1. Milevsky, Moshe Arye, 1997. "The present value of a stochastic perpetuity and the Gamma distribution," Insurance: Mathematics and Economics, Elsevier, vol. 20(3), pages 243-250, October.
    2. Thomas H. Beechy, 2009. "The Many Challenges of Pension Accounting," Accounting Perspectives, John Wiley & Sons, vol. 8(2), pages 91-111, May.
    3. Huang, Hong-Chih & Cairns, Andrew J.G., 2006. "On the control of defined-benefit pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 113-131, February.
    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. 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.
    6. 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.
    7. 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.
    8. De Schepper, Ann & Goovaerts, Marc & Dhaene, Jan & Kaas, Rob & Vyncke, David, 2002. "Bounds for present value functions with stochastic interest rates and stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 87-103, August.
    9. Taylor, Greg, 2002. "Stochastic control of funding systems," Insurance: Mathematics and Economics, Elsevier, vol. 30(3), pages 323-350, June.
    10. Damiaan Chen & Roel Beetsma & Dirk Broeders, 2015. "Stability of participation in collective pension schemes: An option pricing approach," DNB Working Papers 484, Netherlands Central Bank, Research Department.
    11. Miao Jerry C.Y. & Wang Jennifer L., 2006. "Intertemporal Stable Pension Funding," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 1(2), pages 1-15, February.
    12. Chen, Damiaan H.J. & Beetsma, Roel M.W.J. & Broeders, Dirk W.G.A. & Pelsser, Antoon A.J., 2017. "Sustainability of participation in collective pension schemes: An option pricing approach," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 182-196.
    13. 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.
    14. 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.
    15. Philipp Müller & Joël Wagner, 2017. "The Impact of Pension Funding Mechanisms on the Stability and Payoff from Swiss DC Pension Schemes: A Sensitivity Analysis," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 42(3), pages 423-452, July.

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