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Market Consistent Valuation and Funding of Cash Balance Pensions
σ2 4a B(t, t+ k)2 ( T − ( 1− e−2aT 2a )) . 17 The third term in equation (12) is EQ0 [ e− ... ϕ(t) (16) dx(t) = −a1x(t)dt+ σ1dW1(t), x(0) = 0 (17) dy(t) = −a2y(t)dt+ σ2dW2(t), y(0) = 0 (18) where ...- Authors: Xintong ZHU, David Morris Saunders, Mary Hardy
- Date: Dec 2013
- Competency: External Forces & Industry Knowledge
- Topics: Economics>Financial economics; Pensions & Retirement>Plan design