Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes
From MaRDI portal
Publication:1926753
DOI10.1016/j.ejor.2012.01.033zbMath1253.91197MaRDI QIDQ1926753
Juan Pablo Rincón-Zapatero, Ricardo Josa-Fombellida
Publication date: 29 December 2012
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2012.01.033
Related Items
Optimal Defined Contribution Pension Management with Salary and Risky Assets Following Jump Diffusion Processes, A defined benefit pension plan game with Brownian and Poisson jumps uncertainty, Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model, Impulse control of pension fund contributions, in a regime switching economy, Sustainable management of fossil fuels: a dynamic stochastic optimization approach with jump-diffusion, Equilibrium strategies in a defined benefit pension plan game, Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance, Advertising and quality improving strategies in a supply chain when facing potential crises, Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty, Robust equilibrium strategies in a defined benefit pension plan game, Optimal dynamic longevity hedge with basis risk, Funding and investment decisions in a stochastic defined benefit pension plan with regime switching, A multistage stochastic programming asset-liability management model: an application to the Brazilian pension fund industry, Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework, Income drawdown option with minimum guarantee, OPTIMAL TIME-CONSISTENT PORTFOLIO AND CONTRIBUTION SELECTION FOR DEFINED BENEFIT PENSION SCHEMES UNDER MEAN–VARIANCE CRITERION
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- Applied stochastic control of jump diffusions.
- Optimal portfolio for a small investor in a market model with discontinuous prices
- Retirement saving with contribution payments and labor income as a benchmark for investments
- Optimal risk management in defined benefit stochastic pension funds
- Stochastic pension fund control in the presence of Poisson jumps
- Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility
- Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
- Optimal pension funding through dynamic simulations: The case of Taiwan public employees retirement system
- Minimization of risks in pension funding by means of contributions and portfolio selection.
- Stochastic control of funding systems.
- Pension funding incorporating downside risks.
- Dynamic approaches to pension funding
- Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings
- Mean-variance portfolio and contribution selection in stochastic pension funding
- Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases
- Optimal pension funding dynamics over infinite control horizon when stochastic rates of return are stationary
- Controlled Markov processes and viscosity solutions
- An elementary theory of stochastic differential equations driven by a poisson process
- Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
- Towards a General Theory of Good-Deal Bounds*
- Pension Fund Dynamics and Gains/Losses Due to Random Rates of Investment Return
- Contribution and solvency risk in a defined benefit pension scheme
