IDEAS home Printed from https://ideas.repec.org/a/taf/sactxx/v2001y2001i1p1-17.html
   My bibliography  Save this article

Pension Funding with Moving Average Rates of Return

Author

Listed:
  • Diane Bédard
  • Daniel Dufresne

Abstract

In the context of the model of pension funding introduced by Dufresne in 1986, explicit expressions are found for the first two moments of fund level and total contributions, when (1) actuarial gains and losses are amortized over N years, and (2) arithmetic rates of return on assets form a moving average process. The results are obtained via a Markovian representation for the bilinear process obtained for the actuarial losses. One conclusion is that the dependence between successive rates of return may have very significant effects on the financial results obtained.

Suggested Citation

  • Diane Bédard & Daniel Dufresne, 2001. "Pension Funding with Moving Average Rates of Return," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2001(1), pages 1-17.
    • Handle: RePEc:taf:sactxx:v:2001:y:2001:i:1:p:1-17
    DOI: 10.1080/034612301750077275
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/034612301750077275
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/034612301750077275?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:sactxx:v:2001:y:2001:i:1:p:1-17. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/sact .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.