Journal Article10.1016/0167-6687(94)90779-X
Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme
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TL;DR: In this paper, a mathematical model is described which facilitates the comparison of different pension funding methods, and a discussion of methods of funding which are optimal in the sense of the period for spreading surpluses and deficiencies which should be chosen in order to reduce the variability of both contributions and fund levels.
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Abstract: A mathematical model is described which facilitates the comparison of different pension funding methods. Real investment rates of return on the pension fund are assumed to be represented by an autoregressive model for the corresponding force of interest. Expressions for the moments of the contribution rate and fund level are then derived. This leads to a discussion of methods of funding which are optimal in the sense of the period for spreading surpluses and deficiencies which should be chosen in order to reduce the variability of both contributions and fund levels.
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Citations
Stochastic pension fund modelling
Andrew J. G. Cairns,Gary Parker +1 more
TL;DR: In this paper, the authors consider the stochastic behaviour of the funding level of a defined benefit pension plan through time and its relationship with the plan contribution rate and propose the concept of the efficient frontier as a means of choosing an optimal strategy.
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Stochastic investment returns and contribution rate risk in a defined benefit pension scheme
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45
Pension Fund Dynamics and Gains/Losses Due to Random Rates of Investment Return
TL;DR: In this paper, a simple model for defined benefit pension plans with independent and identically distributed rates of investment return and a stationary membership is considered, and three methods of adjusting the normal cost as gains or losses arise are compared, and a suitable choice of amortization or spread period is made.
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Optimal pension funding through dynamic simulations: the case of Taiwan public employees retirement system
TL;DR: In this paper, an approach combining stochastic simulations and dynamic optimization is constructed to decide the optimal funding policy of the defined benefit pension scheme, which shows a significant advantage and flexibility of this approach in projecting the optimal financial status over the traditional deterministic pension valuation.
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Optimal pension funding dynamics over infinite control horizon when stochastic rates of return are stationary
Steven Haberman,Joo-Ho Sung +1 more
TL;DR: In this paper, the authors derived, in relation to a long-term, going-concern valuation basis, optimal funding control procedures over an infinite control horizon, making use of the monotone convergence property of the dynamic programming algorithm.
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References
Movements of pension contributions and fund levels when rates of return are random
TL;DR: In this article, a simple model for studying the variability of contribution rates and fund levels, when rates of return are random, is proposed, where the funding methods considered are those which produce an actuarial liability (AL) and a normal cost (NC), and which adjust the latter by a constant fraction "k" of the difference between AL and the actual fund.
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Stability of pension systems when rates of return are random
TL;DR: In this article, the mean and variance of Ct and F for a fixed number of years were calculated for a defined benefit pension plan, where the rates of return of the plans's assets form an i.i.d. sequence of random variables.
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Stochastic Interest Rates and Autoregressive Integrated Moving Average Processes
TL;DR: In this paper, a practical method for computing moments of insurance functions when interest rates are assumed to follow an autoregressive integrated moving average process was developed. But this method is not suitable for the case where interest rates follow an auto-regressive integrated moving-average process.
Stochastic Modelling of Interest Rates: Actuarial vs. Equilibrium Approach
TL;DR: In this paper, the authors developed a general methodology for analyzing insurance functions when interest rates are stochastic and developed a recursive algorithm to value insurance functions for stationary as well as non-stationary interest rate processes.
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Stability of pension systems when gains/losses are amortized and rates of return are autoregressive
Russell Gerrard,Steven Haberman +1 more
TL;DR: In this paper, the authors considered the effects of a first-order autoregressive process on the expected actuarial loss in a given year and showed that these expectations converge in time to limits which can be found by a simple numerical procedure in any given case.
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