Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases

DOI10.1007/s10479-006-0144-2zbMath1132.91456OpenAlexW2113610106MaRDI QIDQ2480244

Paolo Battocchio, Francesco Menoncin, Olivier Scaillet

Publication date: 31 March 2008

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://archive-ouverte.unige.ch/unige:5805

zbMATH Keywords

pension fundmortality riskasset allocation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Portfolio theory (91G10)

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