Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee

DOI10.1016/J.INSMATHECO.2017.11.004zbMath1398.91355OpenAlexW2773889661MaRDI QIDQ1697221

Gene C. Lai, Mei-Ling Tang, Ting-Pin Wu, Son-Nan Chen

Publication date: 15 February 2018

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.11.004

zbMATH Keywords

stochastic interest ratedefined contribution pension planasset allocationminimum guaranteeinflation-indexed bond

Mathematics Subject Classification ID

Stochastic programming (90C15) Dynamic programming (90C39) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (7)

Optimal DC pension management under inflation risk with jump diffusion price index and cost of living process ⋮ Minimum probability function of crossing the upper regulatory threshold for asset-liability management ⋮ Robust time-consistent strategy for the defined contribution pension plan with a minimum guarantee under ambiguity ⋮ Hedging longevity risk in defined contribution pension schemes ⋮ Optimal defined-contribution pension management with financial and mortality risks ⋮ Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk ⋮ CONTINUOUS-TIME MEAN–VARIANCE OPTIMIZATION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH REGIME-SWITCHING

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