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Stochastic control of funding systems

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  • Taylor, Greg
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    File URL: http://www.sciencedirect.com/science/article/B6V8N-45J91CY-1/2/cb2ee0837539190fbb4af18f500e4c72
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    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 30 (2002)
    Issue (Month): 3 (June)
    Pages: 323-350

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    Handle: RePEc:eee:insuma:v:30:y:2002:i:3:p:323-350

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

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    1. 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.
    2. 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.
    3. Haberman, Steven, 1993. "Pension funding : The effect of changing the frequency of valuations," Insurance: Mathematics and Economics, Elsevier, vol. 13(3), pages 263-270, December.
    4. 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.
    5. 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.
    6. Haberman, Steven & Sung, Joo-Ho, 1994. "Dynamic approaches to pension funding," Insurance: Mathematics and Economics, Elsevier, vol. 15(2-3), pages 151-162, December.
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    Cited by:
    1. 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.
    2. Josa-Fombellida, Ricardo & Rincón-Zapatero, Juan Pablo, 2012. "Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes," European Journal of Operational Research, Elsevier, vol. 220(2), pages 404-413.

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