Pension Fund Dynamics and Gains/Losses Due to Random Rates of Investment Return |
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| Authors: | M Iqbal Owadally Steven Haberman ASA FIA PhD |
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| Institution: | School of Mathematics, Actuarial Science and Statistics , The City University , Northampton Square, London, England EC1V 0HB E-mail: M.I.Owadally@city.ac.uk |
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| 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. |
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