Optimal asset allocation for participating contracts with mortality risk under minimum guarantee

DOI10.1080/03610926.2019.1589518OpenAlexW2979567681WikidataQ128176578 ScholiaQ128176578MaRDI QIDQ5077434

Sang Wu, Wenxin Lv, Yinghui Dong, Guo-jing Wang

Publication date: 18 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1589518

zbMATH Keywords

portfolio insuranceconcavificationparticipating contractLagrange dual method

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (4)

Portfolio optimization with a guaranteed minimum maturity benefit and risk-adjusted fees ⋮ Hedging longevity risk in defined contribution pension schemes ⋮ Parameter estimation for Vasicek model driven by a general Gaussian noise ⋮ Optimal investment based on relative performance and weighted utility

Cites Work

• Unnamed Item
• Utility maximization with a given pricing measure when the utility is not necessarily concave
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Advances in prospect theory: cumulative representation of uncertainty
• Optimal investment strategies in the presence of a minimum guarantee.
• Optimal investment strategies for participating contracts
• Fair Valuation of Life Insurance Contracts Under a Correlated Jump Diffusion Model
• Prospect Theory: An Analysis of Decision under Risk
• A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
• PROFIT SHARING IN HEDGE FUNDS
• An equilibrium characterization of the term structure
• Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund

This page was built for publication: Optimal asset allocation for participating contracts with mortality risk under minimum guarantee