Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee
From MaRDI portal
Publication:1697221
DOI10.1016/j.insmatheco.2017.11.004zbMath1398.91355OpenAlexW2773889661MaRDI QIDQ1697221
Gene C. Lai, Mei-Ling Tang, Ting-Pin Wu, Son-Nan Chen
Publication date: 15 February 2018
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.11.004
stochastic interest ratedefined contribution pension planasset allocationminimum guaranteeinflation-indexed bond
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (6)
Optimal DC pension management under inflation risk with jump diffusion price index and cost of living process ⋮ Minimum probability function of crossing the upper regulatory threshold for asset-liability management ⋮ Robust time-consistent strategy for the defined contribution pension plan with a minimum guarantee under ambiguity ⋮ Hedging longevity risk in defined contribution pension schemes ⋮ Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk ⋮ CONTINUOUS-TIME MEAN–VARIANCE OPTIMIZATION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH REGIME-SWITCHING
Cites Work
- Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk
- Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
- Optimal design of the guarantee for defined contribution funds
- Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- Optimal investment strategies in the presence of a minimum guarantee.
- Optimal portfolio and background risk: an exact and an approximated solution.
- Optimal pension management in a stochastic framework.
- A stochastic calculus model of continuous trading: Complete markets
- Pricing inflation-linked variable annuities under stochastic interest rates
- On ``optimal pension management in a stochastic framework with exponential utility
- Optimal asset allocation for DC pension plans under inflation
- Optimal investment strategies in a CIR framework
- A Theory of the Term Structure of Interest Rates
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Changes of numéraire, changes of probability measure and option pricing
- 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: Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee
