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Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends

✍ Scribed by Gerber, Hans U.; Shiu, Elias S. W.

Book ID: 121467159
Publisher: Informa UK (Taylor & Francis)
Year: 2003
Tongue: English
Weight: 192 KB
Volume: 7
Category: Article
ISSN: 1092-0277
DOI: 10.1080/10920277.2003.10596099

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## Abstract This paper extends the pension funding model in (__N. Am. Actuarial J.__ 2003; **7**:37–51) to a regime‐switching case. The market mode is modeled by a continuous‐time stationary Markov chain. The asset value process and liability value process are modeled by Markov‐modulated geometric