Stochastic Pension Funding: Proportional Control and Bilinear Processes

Diane Bédard

ASTIN Bulletin, 1999, vol. 29, issue 2, 271-293

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.

Date: 1999
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