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Document Details : Title: Stochastic Pension Funding: Proportional Control and Bilinear Processes Author(s): BÉDARD, D. Journal: ASTIN Bulletin Volume: 29 Issue: 2 Date: November 1999 Pages: 271-294 DOI: 10.2143/AST.29.2.504615 Abstract : In this paper, we find explicit expressions for the moments of the fund level and the value of the total contribution when arithmetic or geometric rates of return are modeled by a moving average process of order q and when a proportional control is applied to the contributions. Our approach is based on the bilinear Markovian representation. |
