PENSION FUNDING WITH TIME DELAYS - A STOCHASTIC APPROACH

被引：10
|
作者：
HABERMAN, S
机构：
[1] City University, London
来源：
INSURANCE MATHEMATICS & ECONOMICS | 1992年 / 11卷 / 03期
关键词：
PENSION FUNDING METHODS; FEEDBACK DELAYS;
D O I：
10.1016/0167-6687(92)90025-7
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
A model is set up which facilitates the comparison of different pension funding methods. Real rates of return on the fund are assumed to be represented by independent, identically distributed random variables. The contribution rate is fixed relative to the fund level but with a time delay. Expressions for the expectations and the variability of fund and contribution levels are obtained for finite t and in the limit as t --> infinity.
引用
收藏
页码：179 / 189
页数：11
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