Multi-period defined contribution pension funds investment management with regime-switching and mortality risk
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Publication:2374101
DOI10.1016/J.INSMATHECO.2016.08.005zbMATH Open1371.91171OpenAlexW2508647201MaRDI QIDQ2374101FDOQ2374101
Authors: Haixiang Yao, Ping Chen, Xun Li 
Publication date: 14 December 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/11343/118411
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regime switchingdynamic programmingmortality riskmulti-period mean-variancecontribution pension funds
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Cited In (15)
- Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
- Optimal investment for a defined-contribution pension scheme under a regime switching model
- Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause
- Optimal investment strategy for a DC pension plan with mispricing under the Heston model
- Optimal investment management for a defined contribution pension fund under imperfect information
- Multi-period portfolio optimization in a defined contribution pension plan during the decumulation phase
- Funding and investment decisions in a stochastic defined benefit pension plan with regime switching
- Equilibrium investment strategy for multi-period DC pension funds with stochastic interest rate and regime switching
- Time-consistent investment strategies for a DC pension member with stochastic interest rate and stochastic income
- Equilibrium strategies in a defined benefit pension plan game with regime switching
- Cyclical risk exposure of pension funds: a theoretical framework
- Robust time-consistent strategy for the defined contribution pension plan with a minimum guarantee under ambiguity
- Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching
- Multi-period Telser's safety-first portfolio selection problem in a defined contribution pension plan
- Survey on multi-period mean-variance portfolio selection model
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