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Driving the pension fund

Published online by Cambridge University Press:  20 April 2012

S. Benjamin
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Abstract

In an earlier paper the control characteristics of the aggregate method of funding were displayed by way of its response to a spike, step and random variation in the earned rate of interest, together with a simple intuitive method of setting the valuation rate of interest.

The projected unit method is analysed here in the same way.

A further algorithm is developed which aims at driving an opening fund and contribution rate to a desired fund and contribution rate in n years, using the smoothest path of contribution rates.

Type
Research Article
Information
Journal of the Institute of Actuaries , Volume 116 , Issue 3 , December 1989 , pp. 717 - 735
Copyright
Copyright © Institute and Faculty of Actuaries 1989

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References

(1) Balzer, L. A. & Benjamin, S. (1980). Dynamic Response of Insurance Systems with Delayed Profit/Loss sharing Feedback to Isolated Unpredicted Claims, J.I.A. 107, 513.Google Scholar
(2) Balzer, L. A. (1982). Control of Insurance Systems with Delayed Profit/Loss sharing Feedback and Persisting Unpredicted Claims, J.I.A. 109, 442.Google Scholar
(3) Benjamin, S. (1984). An Actuarial Layman looks at Control Theory. International Congress of Actuaries, 1984.Google Scholar