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Stochastic Pension Funding: Proportional Control and Bilinear Processes

Published online by Cambridge University Press:  29 August 2014

Diane Bédard
Diane Bédard*
Affiliation:
Université Laval, August 1999
*
École d'actuariat, Local 1620, Pavilion Vachon Universite Laval Quebec, PQ GIK 7P4, Canada
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Abstract

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In 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.

Keywords

Bilinear Markovian representationgeometric bilinear processesmoving average rate of returnpension funding
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 29 , Issue 2 , November 1999 , pp. 271 - 293
Copyright
Copyright © International Actuarial Association 1999

References

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