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  • Some Aspects of Statement of Financial Accounting Standards No. 87
    assets would be random. Other factors (e.g. mortality) are supposed static. Chapter 1 describes the ... information about rates implicit in current prices of annuity contracts that could be used to effect settlement ...

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    • Authors: Daniel Dufresne
    • Date: Jan 1993
    • Competency: Technical Skills & Analytical Problem Solving
    • Publication Name: Actuarial Research Clearing House
    • Topics: Modeling & Statistical Methods>Stochastic models; Pensions & Retirement>Pension accounting
  • Actuarial Research Clearing House ARCH 1989 Vol. 1 - Stability of Pension Systems When Rates of Return are Random
    form an i.i.d. sequence with mean r and variance u'. rt is the rate earned on assets during the period ... ation dates s, s+l, ... ,s+m-l. The fact that a...... is calculated at rate m ensures that l,s is in fact ...

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    • Authors: Daniel Dufresne
    • Date: Jan 1989
    • Publication Name: Actuarial Research Clearing House
  • Fluctuations of Pension Contributions and Fund Level
    2. The s imples t case : the accumulated va lue of 1 per annum One o f the s imples t "pens ... Rt_l). Let U t be the accumulated value at time t of one unit invested at time 0. The table below shows ...

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    • Authors: Daniel Dufresne
    • Date: Jan 1990
    • Competency: Technical Skills & Analytical Problem Solving
    • Publication Name: Actuarial Research Clearing House
    • Topics: Pensions & Retirement>Assumptions and methods
  • Current Research on Pension Accounting
    the corridor depicted; when the abolute value of U/U~ is smaller than the threshold amount, the system ... 10% max{Fund, ActUarial Liability} 324 gai,~ s and losses is apparently contained in paragraph 184 ...

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    • Authors: Daniel Dufresne
    • Date: Jan 1993
    • Competency: Technical Skills & Analytical Problem Solving
    • Publication Name: Actuarial Research Clearing House
    • Topics: Pensions & Retirement>Defined benefit plans
  • Distributions of Discounted Values
    (t- 1, t), with corresponding discount factor V s = 1/( I+R t) , t = 1 ,2 ..... The discounted values ... value, at time t , of C O . . . . . Cr. 1 , then S t=(1 +Rr)(St . I+Ct. I ) , S0=0. This shows that ...

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    • Authors: Daniel Dufresne
    • Date: Jan 1992
    • Competency: Technical Skills & Analytical Problem Solving
    • Publication Name: Actuarial Research Clearing House
    • Topics: Modeling & Statistical Methods