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Stochastic Pension Funding: Proportional Control and Bilinear Processes

Published online by Cambridge University Press:  29 August 2014

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.

Type
Articles
Copyright
Copyright © International Actuarial Association 1999

References

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