Stochastic optimal control of annuity contracts.

DOI10.1016/S0167-6687(03)00136-7zbMath1103.91346MaRDI QIDQ1423354

Pierre Devolder, Inmaculada Dominguez Fabian, Manuela Bosch Princep

Publication date: 14 February 2004

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

zbMATH Keywords

optimal controlasset allocationasset and liability management

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (42)

COMPARISON OF MEAN VARIANCE LIKE STRATEGIES FOR OPTIMAL ASSET ALLOCATION PROBLEMS ⋮ Robust optimal investment strategy of DC pension plans with stochastic salary and a return of premiums clause ⋮ Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model ⋮ Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility ⋮ Time-consistent investment strategy for DC pension plan with stochastic salary under CEV model ⋮ Optimal strategies for pay-as-you-go pension finance: a sustainability framework ⋮ RISK MANAGEMENT OF FINANCIAL CRISES: AN OPTIMAL INVESTMENT STRATEGY WITH MULTIVARIATE JUMP-DIFFUSION MODELS ⋮ Optimal investment strategy for a DC pension plan with mispricing under the Heston model ⋮ A benchmarking approach to track and compare administrative charges on flow and balance in individual account pension systems ⋮ Efficient output solution for nonlinear stochastic optimal control problem with model-reality differences ⋮ Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework ⋮ Optimal pension fund management in a jump-diffusion environment: theoretical and empirical studies ⋮ A Stochastic Control Approach to Defined Contribution Plan Decumulation: “The Nastiest, Hardest Problem in Finance” ⋮ Time-consistent investment strategies for a DC pension member with stochastic interest rate and stochastic income ⋮ Robust optimal investment strategy for a DC pension plan in the market with mispricing and constant elasticity of variance ⋮ A defined benefit pension plan model with stochastic salary and heterogeneous discounting ⋮ Optimal investment for the defined-contribution pension with stochastic salary under a CEV model ⋮ Unnamed Item ⋮ Optimal investment strategies for the HARA utility under the constant elasticity of variance model ⋮ Determining equivalent administrative charges for defined contribution pension plans under CEV model ⋮ Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model ⋮ An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts ⋮ Stochastic optimal control of DC pension funds ⋮ Constant elasticity of variance model for proportional reinsurance and investment strategies ⋮ Constant elasticity of variance model and analytical strategies for annuity contracts ⋮ Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate ⋮ Portfolio optimization under the stochastic elasticity of variance ⋮ Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework ⋮ A general optimization framework for the annuity contracts with multiscale stochastic volatility ⋮ The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts ⋮ Management of a pension fund under mortality and financial risks ⋮ Equilibrium investment strategy for DC pension plan with inflation and stochastic income under Heston's SV model ⋮ Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance ⋮ Robust analysis for premium-reserve models in a stochastic nonlinear discrete-time varying framework ⋮ Optimal portfolio selection for a defined-contribution plan under two administrative fees and return of premium clauses ⋮ Optimal mix between pay-as-you-go and funding for DC pension schemes in an overlapping generations model ⋮ Optimal portfolios for DC pension plans under a CEV model ⋮ Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk ⋮ An optimal investment strategy and multiperiod deposit insurance pricing model for commercial banks ⋮ Portfolio optimization for pension plans under hybrid stochastic and local volatility. ⋮ Choosing the optimal annuitization time post-retirement ⋮ On efficiency of mean–variance based portfolio selection in defined contribution pension schemes

Cites Work

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