Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan
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Publication:2010894
DOI10.1016/J.INSMATHECO.2019.09.005zbMATH Open1427.91245OpenAlexW2976244068WikidataQ127217043 ScholiaQ127217043MaRDI QIDQ2010894FDOQ2010894
Authors: Suxin Wang, Yi Lu 
Publication date: 28 November 2019
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.09.005
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Hamilton-Jacobi-Bellman equationstochastic optimal controlloss functionoptimal investmentintergenerational risk sharinghybrid pension plan
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Cited In (22)
- Management strategies for a defined contribution pension fund under the hybrid stochastic volatility model
- Structure of intergenerational risk-sharing plans: optimality and fairness
- Title not available (Why is that?)
- Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
- Title not available (Why is that?)
- Intergenerational sharing of unhedgeable inflation risk
- Take (smoothed) risks when you are young, not when you are old: How to get the best from your pension plan
- Continuous-time optimal pension indexing in pay-as-you-go systems
- Optimal investment and benefit payment strategy under loss aversion for target benefit pension plans
- \(\alpha\)-robust optimal investment strategy for target benefit pension plans under default risk
- Optimal investment strategies and intergenerational risk sharing for target benefit pension plans
- DYNAMIC HEDGING STRATEGIES FOR CASH BALANCE PENSION PLANS
- Manage pension deficit with heterogeneous insurance
- Dynamic optimal adjustment policies of hybrid pension plans
- Robust optimal investment and benefit payment adjustment strategy for target benefit pension plans under default risk
- Optimal assets allocation and benefit adjustment strategy with longevity risk for target benefit pension plans
- Title not available (Why is that?)
- Optimal investment strategies for pension funds with regulation-conform dynamic pension payment management in the absence of guarantees
- Target benefit pension plan with longevity risk and intergenerational equity
- Optimal VIX-linked structure for the target benefit pension plan
- Optimal investment and benefit payment strategies for TB pension plans with stochastic interest rate under the HARA utility
- Optimal portfolio strategy of wealth process: a Lévy process model-based method
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