Hostname: page-component-78c5997874-t5tsf Total loading time: 0 Render date: 2024-11-10T16:19:26.156Z Has data issue: false hasContentIssue false
  • English
  • Français

Pension Funding With Time Delays and the Optimal Spread Period

Published online by Cambridge University Press:  29 August 2014

Steven Haberman
Steven Haberman*
Affiliation:
Department of Actuarial Science and Statistics, The City University, London, UK
*
Department of Actuarial Science and Statistics, The City University, Northampton Square, London ECIV GHB, UK.
Rights & Permissions [Opens in a new window]

Abstract

Core share and HTML view are not available for this content. However, as you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

The paper extends earlier results by demonstrating that there is an optimal range of values for the period for amortizing valuation surpluses or deficiencies, in the case when there is a one year time delay between fixing a contribution rate and the accounting information about current fund levels. The optimal range is compared for the cases where there is no time delay and there is a one year time delay.

Keywords

Pension fundingtime delaysoptimal spread period
Type
Workshop
Information
ASTIN Bulletin: The Journal of the IAA , Volume 25 , Issue 2 , November 1995 , pp. 177 - 187
Copyright
Copyright © International Actuarial Association 1995

References

Bowers, N.L., Hickman, J.C. and Nesbitt, C.J. (1976) Introduction to the dynamics of pension funding. Transactions of the Society of Actuaries, 28, 177–203.Google Scholar
Dufresne, D. (1988) Moments of pension fund contributions and fund levels when rates of return are random. Journal of the Institute of Actuaries, 115, 535–544.CrossRefGoogle Scholar
Haberman, S. (1991) Pension funding methods and autoregressive interest rate models. Proceedings of Second AFIR Colloquium. Volume 2, pp. 181–204.Google Scholar
Haberman, S. (1992) Pension funding with time delays: a stochastic approach. Insurance: Mathematics and Economics, 11, 179–189.Google Scholar
Haberman, S. (1993) Pension funding with time delays and autoregressive rates of investment return. Insurance: Mathematics and Economics, 13, 45–56.Google Scholar
Keyfitz, N. (1985) Applied Mathematical Demography. (2nd edition). Springer Verlag, New York.CrossRefGoogle Scholar
Panjer, H.H. and Bellhouse, D.R. (1980) Stochastic modelling of interest rates with applications to life contingencies. Journal of Risk and Insurance, 47, 91–110.CrossRefGoogle Scholar
Trowbridge, C.L. (1952) Fundamentals of pension funding. Transactions of the Society of Actuaries, 4, 17–43.Google Scholar
Zimbidis, A. and Haberman, S. (1993) Delay, feedback and the variability of pension contributions and fund levels. Insurance: Mathematics and Economics, 13, 271–285.Google Scholar