Yatırım getirileri bir gecikmeli hareketli ortalama modeline uyduğunda performans kriterine dayalı optimal amortisman süresinin belirlenmesi

Year 2009, Volume 2, Issue 2, 70 - 81, 01.06.2009

Y. Gençtürk T. Sözer

Abstract

Keywords

-

Yatırım getirileri bir gecikmeli hareketli ortalama modeline uyduğunda performans kriterine dayalı optimal amortisman süresinin belirlenmesi

Abstract

Keywords

Faydası belirli emeklilik planları, Katkı oranı riski, Yükümlülüklerin yerine getirilememe riski, Bir gecikmeli hareketli ortalama modeli (MA(1)), Optimal amortisman süresi

References

• G. Kingsland, (1982), Combining Financial and Actuarial Risk: Simulation Analysis”, Journal of Finance 37, pp. 604-606.
• G.E. Box, G.M. Jenkins, (1976), Time Series Analysis Forecasting and Control, Holden-Day.
• J-F. Boulier, E.Trussant, D. Florens, (1995), A Dynamic Model for Pension Funds Management, Proceeding of 5th AFIR International Colloquium 1, pp. 361-384.
• J-F. Ricardo, J.P. Rincon-Zapatero, (2001), Minimization of Risks in Pension Funding by Means of Contribution and Portfolio Selection, Insurance: Mathematics and Economics 29, pp. 35-45.
• M.I. Owadally, S. Haberman, (1999), Pension Fund Dynamics and Gains and Losses Due to Random Rates of Return. North American Actuarial Journal 3, 105-177.
• S. Haberman, Z. Butt, C. Megaloudi, (2000), Contribution and Solvency Risk in a Defined Benefit Pension Scheme. Insurance: Mathematics and Economics 27, 237-259.
• S. Haberman, L.Y.P. Wong, (1997), Moving Average Rates of Return and the Variability of Pension Contributions and Fund Levels for a Defined Benefit Pension Scheme. Insurance:Mathematics and Economics 20, 115-135.
• S. Haberman, (1994), Pension Funding Modelling and Stochastic Investment Returns. ActuarialResearch Paper No. 62, City University, London, UK.