Title of article
Harmonic analysis of pension funding methods
Author/Authors
Mandl، نويسنده , , Petr and Mazurovل، نويسنده , , Lucie، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1996
Pages
12
From page
203
To page
214
Abstract
A model of a defined benefit pension scheme under randomly fluctuating rates of return and numbers of entrants is investigated using spectral decomposition of stationary random sequences. Formulae are derived for the variances of the fund level and of the contribution rate under a group funding method as well as for the variance of the discounted cash flows in the case of direct defrayal of pension cost.
Keywords
Cash Flows , spectral decomposition , Autoregressive random sequences , Pension funding
Journal title
Insurance Mathematics and Economics
Serial Year
1996
Journal title
Insurance Mathematics and Economics
Record number
1541068
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