Optimal dynamic asset allocation of pension fund in mortality and salary risks framework (Q495461)
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scientific article; zbMATH DE number 6481768
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| English | Optimal dynamic asset allocation of pension fund in mortality and salary risks framework |
scientific article; zbMATH DE number 6481768 |
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Optimal dynamic asset allocation of pension fund in mortality and salary risks framework (English)
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14 September 2015
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assets liabilities management (ALM)
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optimal dynamic asset allocation
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mortality risk
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salary risk
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incomplete market
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stochastic dynamic programming
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martingale method
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0.8444818258285522
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0.8332446813583374
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0.8274970650672913
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0.8087198734283447
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