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• W3123773313 abstract "AbstractStructuring a viable pension plan is a problem that arises in the study of nancialcontracts pricing and bears special importance these days. Deterministic pensionmodels often rely on projections that are based on several assumptions concerningthe average long-time behavior of the stock market. Our aim here is to examinesome of the popular average assumptions in a more realistic setting of a stochasticmodel. Thus, we examine the contention that investment in the stock market issimilar to gambling in a casino, while purchasing companies, after due diligence,is safer under the premise that acting as a holding company that wholly ownsother companies avoids some of the stock market risks. We show that the stockmarket index faithfully reects its companies’ pro ts at the time of their publication.We compare the shifted historical dynamics of the S&P500’s aggregated nancialearnings to its value, and nd a high degree of correlation. We conclude that thereis no bene t to a pension fund in wholly owning a super trust. We verify, byexamining historical data, that stock earnings follow an exponential (geometric)Brownian motion and estimate its parameters. The robustness of this model isexamined by an estimate of a pensioner’s accumulated assets over a saving period.We also estimate the survival probability and mean survival time of the accumulatedindividual fund with pension consumption over the residual life of the pensioner." @default.
• W3123773313 created "2021-02-01" @default.
• W3123773313 creator A5072194007 @default.
• W3123773313 creator A5083691372 @default.
• W3123773313 date "2014-07-01" @default.
• W3123773313 modified "2023-09-27" @default.
• W3123773313 title "Stochastic model of a pension plan" @default.
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• W3123773313 hasPublicationYear "2014" @default.
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