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Stability of pension systems when rates of return are random. (English) Zbl 0666.62105

Consider a funded pension plan, and suppose actuarial gains or losses are amortized over a fixed number of years. The paper aims at assessing how contributions (C) and fund levels (F) are affected when the rates of return of the plan’s assets form an i.i.d. sequence of random variables. This is achieved by calculating the mean and variance of \(C_ t\) and \(F_ t\) for \(t\leq \infty\).

MSC:

62P05 Applications of statistics to actuarial sciences and financial mathematics
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References:

[1] Brand, L., Differential and difference equations, (1966), Wiley New York · Zbl 0223.34001
[2] Dufresne, D., Pension funding and random rates of return, () · Zbl 0606.62123
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