Dynamic hedging of the mortality risk via a continuous control strategy of the portfolio of investments of a pension fund (Q3399107)
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scientific article; zbMATH DE number 5608941
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| English | Dynamic hedging of the mortality risk via a continuous control strategy of the portfolio of investments of a pension fund |
scientific article; zbMATH DE number 5608941 |
Statements
29 September 2009
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pension fund
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whole life assurance
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optimal control theory
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HJB equation
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0.8160260319709778
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0.8087101578712463
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0.803686261177063
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0.8030916452407837
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