Minimization of risks in pension funding by means of contributions and portfolio selection.

DOI10.1016/S0167-6687(01)00070-1zbMath1055.91051MaRDI QIDQ1413280

Juan Pablo Rincón-Zapatero, Ricardo Josa-Fombellida

Publication date: 16 November 2003

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

zbMATH Keywords

stochastic controlsolvency riskasset allocation

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (25)

Optimal investment strategies and intergenerational risk sharing for target benefit pension plans ⋮ Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings ⋮ Dynamic optimal adjustment policies of hybrid pension plans ⋮ A Stochastic Control Approach to Defined Contribution Plan Decumulation: “The Nastiest, Hardest Problem in Finance” ⋮ Cyclical risk exposure of pension funds: a theoretical framework ⋮ Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes ⋮ Mean-variance portfolio and contribution selection in stochastic pension funding ⋮ A defined benefit pension plan game with Brownian and Poisson jumps uncertainty ⋮ Linear quadratic leader-follower stochastic differential games for mean-field switching diffusions ⋮ Equilibrium strategies in a defined benefit pension plan game ⋮ Optimal DB-PAYGO pension management towards a habitual contribution rate ⋮ Time consistent pension funding in a defined benefit pension plan with non-constant discounting ⋮ Optimal decision on dynamic insurance price and investment portfolio of an insurer ⋮ Optimal dynamic asset allocation strategy for ELA scheme of DC pension plan during the distribution phase ⋮ A Stackelberg game of backward stochastic differential equations with applications ⋮ Mean-variance investment and contribution decisions for defined benefit pension plans in a stochastic framework ⋮ Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases ⋮ Optimal risk management in defined benefit stochastic pension funds ⋮ Optimal investment decisions with a liability: the case of defined benefit pension plans ⋮ Stochastic pension fund control in the presence of Poisson jumps ⋮ Continuous-time optimal pension indexing in pay-as-you-go systems ⋮ Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance ⋮ Optimal investment and benefit payment strategies for TB pension plans with stochastic interest rate under the HARA utility ⋮ Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates ⋮ Optimal assets allocation and benefit outgo policies of DC pension plan with compulsory conversion claims

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• Optimum consumption and portfolio rules in a continuous-time model
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• Optimal consumption and portfolio choice with borrowing constraints
• Dynamic approaches to pension funding
• Controlled Markov processes and viscosity solutions
• Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
• Pension Fund Dynamics and Gains/Losses Due to Random Rates of Investment Return

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