Mean-variance optimization problems for an accumulation phase in a defined benefit plan
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Hamilton-Jacobi-Bellman equationFeynman-Kac representationstochastic mortality intensity processLévy diffusion financial market
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Cites work
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- scientific article; zbMATH DE number 4085365 (Why is no real title available?)
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Cited in
(23)- Multi-period defined contribution pension funds investment management with regime-switching and mortality risk
- A new defined benefit pension risk measurement methodology
- De-risking defined benefit plans
- Mean-variance portfolio selection for a non-life insurance company
- Optimal Defined Contribution Pension Management with Salary and Risky Assets Following Jump Diffusion Processes
- Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework
- Mortality options: the point of view of an insurer
- Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
- Optimal DC pension management under inflation risk with jump diffusion price index and cost of living process
- Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk
- Heterogeneity-adjusted management of pension funds using adaptive representative agents
- Longevity-linked assets and pre-retirement consumption/portfolio decisions
- Downside risk management of a defined benefit plan considering longevity basis risk
- Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching
- Equilibrium strategies in a defined benefit pension plan game
- An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process
- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
- Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance
- Optimal time-consistent portfolio and contribution selection for defined benefit pension schemes under mean-variance criterion
- Continuous time mean-variance optimal portfolio allocation under jump diffusion: an numerical impulse control approach
- Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model
- Mean-variance investment and contribution decisions for defined benefit pension plans in a stochastic framework
- A defined benefit pension plan model with stochastic salary and heterogeneous discounting
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