Optimal pension management in a stochastic framework.

DOI10.1016/j.insmatheco.2003.11.001zbMath1068.91028OpenAlexW2067978582MaRDI QIDQ1430674

Francesco Menoncin, Paolo Battocchio

Publication date: 27 May 2004

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2003.11.001

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic optimal controldefined-contribution pension planinflation risksalary risk

Mathematics Subject Classification ID

Stochastic network models in operations research (90B15) Optimal stochastic control (93E20) Portfolio theory (91G10)

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