Pension Fund Dynamics and Gains/Losses Due to Random Rates of Investment Return

M. Iqbal Owadally and Steven Haberman

North American Actuarial Journal, 1999, vol. 3, issue 3, 105-117

Abstract: 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.

Date: 1999
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DOI: 10.1080/10920277.1999.10595837

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