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Pension fund dynamics and gains/losses due to random rates of investment return. (English) Zbl 1082.62543

Summary: A simple model for defined benefit pension plans with independent and identically distributed rates of investment return and a stationary membership is considered. Three methods of adjusting the normal cost as gains or losses arise are compared, and a suitable choice of amortization or spread period is made. We also investigate the evolution in time of the first and second moments of the pension fund and contribution levels.

MSC:

62P05 Applications of statistics to actuarial sciences and financial mathematics
91B30 Risk theory, insurance (MSC2010)
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References:

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