Stochastic Pension Funding: Proportional Control and Bilinear Processes-Reference-Cited by-同舟云学术

Stochastic Pension Funding: Proportional Control and Bilinear Processes

Published:1999-11 Issue:2 Volume:29 Page:271-293
ISSN:0515-0361
Container-title:ASTIN Bulletin
language:en
Short-container-title:ASTIN Bull.

Author:

Bédard Diane

Abstract

AbstractIn 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.

Publisher

Cambridge University Press (CUP)

Subject

Economics and Econometrics,Finance,Accounting

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