Hedging longevity risk in defined contribution pension schemes (Q6088770): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
Normalize DOI.
 
(2 intermediate revisions by 2 users not shown)
Property / DOI
 
Property / DOI: 10.1007/s10287-023-00440-8 / rank
Normal rank
 
Property / cites work
 
Property / cites work: Optimal pension management in a stochastic framework. / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities / rank
 
Normal rank
Property / cites work
 
Property / cites work: OPTIMAL INVESTMENT DECISIONS FOR A PORTFOLIO WITH A ROLLING HORIZON BOND AND A DISCOUNT BOND / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk-Sensitive ICAPM With Application to Fixed-Income Management / rank
 
Normal rank
Property / cites work
 
Property / cites work: Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers / rank
 
Normal rank
Property / cites work
 
Property / cites work: A bidimensional approach to mortality risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: The fair value of guaranteed annuity options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund / rank
 
Normal rank
Property / cites work
 
Property / cites work: Guaranteed Annuity Options / 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: Constrained non-concave utility maximization: an application to life insurance contracts with guarantees / rank
 
Normal rank
Property / cites work
 
Property / cites work: A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB) / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk / 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: GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES / rank
 
Normal rank
Property / cites work
 
Property / cites work: Existence of optimal consumption strategies in markets with longevity risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal investment strategies in the presence of a minimum guarantee. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4794153 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Credit risk modeling with affine processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: An optimal stochastic control framework for determining the cost of hedging of variable annuities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic optimal control of DC pension funds / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal asset allocation for DC pension plans under inflation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Individual post-retirement longevity risk management under systematic mortality risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection / rank
 
Normal rank
Property / cites work
 
Property / cites work: Valuing guaranteed minimum accumulation benefits by a change of numéraire approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Valuation perspectives and decompositions for variable annuities with GMWB riders / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal portfolios with stochastic interest rates and defaultable assets. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modeling and Forecasting U.S. Mortality / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal investment strategies for participating contracts / rank
 
Normal rank
Property / cites work
 
Property / cites work: Delta-gamma hedging of mortality and interest rate risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Valuation of a Guaranteed Minimum Maturity Benefit under a Regime-Switching Framework / rank
 
Normal rank
Property / cites work
 
Property / cites work: The role of longevity bonds in optimal portfolios / rank
 
Normal rank
Property / cites work
 
Property / cites work: Longevity-linked assets and pre-retirement consumption/portfolio decisions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mortality derivatives and the option to annuitise. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing and hedging guaranteed annuity options via static option replication. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous-time stochastic control and optimization with financial applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: A cohort-based extension to the Lee-Carter model for mortality reduction factors / rank
 
Normal rank
Property / cites work
 
Property / cites work: Calibrating affine stochastic mortality models using term assurance premiums / rank
 
Normal rank
Property / cites work
 
Property / cites work: Self-Financing Trading Strategies for Sliding, Rolling-Horizon, and Consol Bonds / rank
 
Normal rank
Property / cites work
 
Property / cites work: Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Squared Bessel processes and their applications to the square root interest rate model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee / rank
 
Normal rank
Property / cites work
 
Property / cites work: Valuation of guaranteed annuity options using a stochastic volatility model for equity prices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal asset allocation for participating contracts with mortality risk under minimum guarantee / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean reversion in stochastic mortality: why and how? / rank
 
Normal rank
Property / cites work
 
Property / cites work: A stochastic volatility model and optimal portfolio selection / rank
 
Normal rank
Property / DOI
 
Property / DOI: 10.1007/S10287-023-00440-8 / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 18:19, 30 December 2024

scientific article; zbMATH DE number 7778014
Language Label Description Also known as
English
Hedging longevity risk in defined contribution pension schemes
scientific article; zbMATH DE number 7778014

    Statements

    Hedging longevity risk in defined contribution pension schemes (English)
    0 references
    0 references
    0 references
    0 references
    14 December 2023
    0 references
    defined contribution pension scheme
    0 references
    longevity bond
    0 references
    stochastic control
    0 references
    dynamic programming principle
    0 references
    0 references

    Identifiers