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Stochastic Pension Funding: Proportional Control and Bilinear Processes

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  • Bédard, Diane

Abstract

In this paper, we find explicit expressions for the moments of the fund level and the value of the total contribution when arithmetic or geometric rates of return are modeled by a moving average process of order q and when a proportional control is applied to the contributions. Our approach is based on the bilinear Markovian representation.

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  • Bédard, Diane, 1999. "Stochastic Pension Funding: Proportional Control and Bilinear Processes," ASTIN Bulletin, Cambridge University Press, vol. 29(2), pages 271-293, November.
    • Handle: RePEc:cup:astinb:v:29:y:1999:i:02:p:271-293_01
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    Cited by:

    1. 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.

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