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Variability of Pension Contributions and Fund Levels with Random and Autoregressive Rates of Return
order I (AR(1)): [(t) : @ + @ [~(t-1) -@ ] + e(t) (17) where e(t) for t=1,2, ... are independent and ... each with mean 0 and var iance 12. Equat ion (17) replaces assumpt ion 5. in t roduced ear l ier ...- Authors: Steven Haberman
- Date: Jan 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Pensions & Retirement>Assumptions and methods