Abstract
A mathematical model is described which facilitates the comparison of different pension funding methods for a defined benefit pension scheme. Real investment rates of return to the pension fund are assumed to be represented by a moving average model for the corresponding force of interest. Expressions for the moments of the contribution and fund level are then derived. This leads to a discussion of methods of funding which are optimal in the sense of choosing the period for spreading surpluses and deficiencies in order to reduce the variability of both contributions and fund levels. The results are compared with those obtained when the investment returns are independent and identically distributed or autoregressive and, in this sense, the paper is a natural successor to Haberman (1994).
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
