Optimal pension management in a stochastic framework.

DOI10.1016/j.insmatheco.2003.11.001zbMath1068.91028MaRDI QIDQ1430674

Francesco Menoncin, Paolo Battocchio

Publication date: 27 May 2004

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2003.11.001

zbMATH Keywords

Hamilton-Jacobi-Bellman equation; stochastic optimal control; defined-contribution pension plan; inflation risk; salary risk

Mathematics Subject Classification ID

90B15: Stochastic network models in operations research

93E20: Optimal stochastic control

91G10: Portfolio theory

Related Items

Cyclical risk exposure of pension funds: a theoretical framework, Pension funds as institutions for intertemporal risk transfer, Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates, Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings, Optimal management and inflation protection for defined contribution pension plans, Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases, Optimal Dynamic Control for the Defined Benefit Pension Plans with Stochastic Benefit Outgo

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