Mean-variance optimization problems for an accumulation phase in a defined benefit plan (Q939338): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
Import241208061232 (talk | contribs)
Normalize DOI.
 
(2 intermediate revisions by 2 users not shown)
Property / DOI
 
Property / DOI: 10.1016/j.insmatheco.2007.01.005 / rank
Normal rank
 
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.01.005 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2033512612 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Lévy Processes and Stochastic Calculus / rank
 
Normal rank
Property / cites work
 
Property / cites work: The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case / rank
 
Normal rank
Property / cites work
 
Property / cites work: Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3158097 / rank
 
Normal rank
Property / cites work
 
Property / cites work: CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION / rank
 
Normal rank
Property / cites work
 
Property / cites work: Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pension funding incorporating downside risks. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Financial Modelling with Jump Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean-variance portfolio selection for a non-life insurance company / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean-variance hedging in continuous time / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3815091 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Contribution and solvency risk in a defined benefit pension scheme / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamic approaches to pension funding / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal pension funding dynamics over infinite control horizon when stochastic rates of return are stationary / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingales versus PDEs in finance: an equivalence result with examples / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal risk management in defined benefit stochastic pension funds / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5480578 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic pension fund control in the presence of Poisson jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: Applied stochastic control of jump diffusions. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Affine stochastic mortality / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean-variance hedging for general claims / rank
 
Normal rank
Property / cites work
 
Property / cites work: Approximation pricing and the variance-optimal martingale measure / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous-time mean-variance portfolio selection: a stochastic LQ framework / rank
 
Normal rank
Property / DOI
 
Property / DOI: 10.1016/J.INSMATHECO.2007.01.005 / rank
 
Normal rank

Latest revision as of 08:59, 10 December 2024

scientific article
Language Label Description Also known as
English
Mean-variance optimization problems for an accumulation phase in a defined benefit plan
scientific article

    Statements

    Mean-variance optimization problems for an accumulation phase in a defined benefit plan (English)
    0 references
    0 references
    0 references
    0 references
    22 August 2008
    0 references
    Lévy diffusion financial market
    0 references
    stochastic mortality intensity process
    0 references
    Hamilton-Jacobi-Bellman equation
    0 references
    Feynman-Kac representation
    0 references
    0 references
    0 references
    0 references

    Identifiers