Abstract
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 representation, geometric bilinear processes, moving average rate of return, pension funding.
Volume
29:2
Page
271-294
Year
1999
Categories
Actuarial Applications and Methodologies
Dynamic Risk Modeling
Asset Liability Management (ALM);
Financial and Statistical Methods
Asset and Econometric Modeling
Business Areas
Other Lines of Business
Actuarial Applications and Methodologies
Valuation
Publications
ASTIN Bulletin
