Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model

DOI10.1016/j.insmatheco.2016.10.007zbMath1394.91332MaRDI QIDQ506063

Hui Zhao, Danping Li, Bo Yi, Xi-Min Rong

Publication date: 31 January 2017

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.10.007

zbMATH Keywords

default risk; mean-variance criterion; time-consistency; constant elasticity of variance (CEV) model; DC pension plan

Mathematics Subject Classification ID

93E20: Optimal stochastic control

91G10: Portfolio theory