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  • Stochastic Pension Fund Modelling
    Stochastic Pension Fund Modelling This paper presents a procedure that can be used to find an efficient ... l~Pi+,+h,t]t. \V(, d<,~,(ril>(, lh~. ~('II('I',:17 +II)1)I(~;I< h 'w(. list, f'tJi' +h'l>Pv+,h'r~t r; ...

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    • Authors: Gary Parker, Andrew Cairns
    • Date: Jan 1996
    • Competency: Technical Skills & Analytical Problem Solving
    • Publication Name: Actuarial Research Clearing House
    • Topics: Pensions & Retirement>Funding
  • Stochastic Analysis of the Interaction Between Investment and Insurance Risks. Fellowship Credit Research Paper
    covariances, that is: = ! ~. + 2 cic r COV(Zi,I,Zr,1). (17) V[Z] V Zi J i= =1 i=l r=i+l Alternatively, using ... can then be summarized in the covariance terms in (17) or in the correlation terms in (19). Assuming ...

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    • Authors: Gary Parker
    • Date: Jan 1995
    • Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
    • Publication Name: Actuarial Research Clearing House
    • Topics: Finance & Investments>Portfolio management - Finance & Investments; Life Insurance>Investment strategy - Life Insurance
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