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Stochastic investment returns and contribution rate risk in a defined benefit pension scheme

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  • Haberman, Steven
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    File URL: http://www.sciencedirect.com/science/article/B6V8N-3VV046B-4/2/5dc44308ab7c523b3b4e5d5f9bb6d5fc
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    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 19 (1997)
    Issue (Month): 2 (April)
    Pages: 127-139

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    Handle: RePEc:eee:insuma:v:19:y:1997:i:2:p:127-139

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    Web page: http://www.elsevier.com/locate/inca/505554

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    1. Haberman, Steven & Sung, Joo-Ho, 1994. "Dynamic approaches to pension funding," Insurance: Mathematics and Economics, Elsevier, vol. 15(2-3), pages 151-162, December.
    2. Haberman, Steven, 1992. "Pension funding with time delays : A stochastic approach," Insurance: Mathematics and Economics, Elsevier, vol. 11(3), pages 179-189, October.
    3. O'Brien, Thomas, 1986. "A stochastic-dynamic approach to pension funding," Insurance: Mathematics and Economics, Elsevier, vol. 5(2), pages 141-146, April.
    4. Zimbidis, Alexandros & Haberman, Steven, 1993. "Delay, feedback and variability of pension contributions and fund levels," Insurance: Mathematics and Economics, Elsevier, vol. 13(3), pages 271-285, December.
    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, Elsevier, vol. 14(3), pages 219-240, July.
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    Cited by:
    1. Josa-Fombellida, Ricardo & Rincon-Zapatero, Juan Pablo, 2001. "Minimization of risks in pension funding by means of contributions and portfolio selection," Insurance: Mathematics and Economics, Elsevier, vol. 29(1), pages 35-45, August.
    2. 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.
    3. T. Gudaitis & A. Fiori Maccioni, 2014. "Optimal Individual Choice of Contribution to Second Pillar Pension System in Lithuania," Working Paper CRENoS 201402, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    4. Gabay, Daniel & Grasselli, Martino, 2012. "Fair demographic risk sharing in defined contribution pension systems," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 657-669.
    5. Maurer, Raimond & Mitchell, Olivia S. & Rogalla, Ralph, 2009. "Managing contribution and capital market risk in a funded public defined benefit plan: Impact of CVaR cost constraints," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 25-34, August.
    6. Haberman, Steven & Butt, Zoltan & Megaloudi, Chryssoula, 2000. "Contribution and solvency risk in a defined benefit pension scheme," Insurance: Mathematics and Economics, Elsevier, vol. 27(2), pages 237-259, October.
    7. Josa-Fombellida, Ricardo & Rincon-Zapatero, Juan Pablo, 2004. "Optimal risk management in defined benefit stochastic pension funds," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 489-503, June.
    8. John Board & Charles Sutcliffe, 2005. "Joined-Up Pensions Policy in the UK: An Asset-Libility Model for Simultaneously Determining the Asset Allocation and Contribution Rate," ICMA Centre Discussion Papers in Finance icma-dp2005-11, Henley Business School, Reading University.
    9. Alessandro Fiori Maccioni, 2011. "A Stochastic Model for the Analysis of Demographic Risk in Pay-As-You-Go Pension Funds," Papers 1106.5081, arXiv.org.
    10. 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.
    11. A. Bitinas & A. Fiori Maccioni, 2013. "Lithuanian pension system’s reforms following demographic and social transitions," Working Paper CRENoS 201315, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    12. repec:nbr:nberwo:14332 is not listed on IDEAS

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