Funding and investment decisions in a stochastic defined benefit pension plan with regime switching
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Publication:2393667
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Cites work
- Applied stochastic control of jump diffusions
- Controlled Markov processes and viscosity solutions
- EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
- Financial Modelling with Jump Processes
- Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings
- Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
- Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
- Optimal investment decisions with a liability: the case of defined benefit pension plans
- Optimal risk management in defined benefit stochastic pension funds
- Optimum consumption and portfolio rules in a continuous-time model
- Option pricing when underlying stock returns are discontinuous
- Pension fund investments and the valuation of liabilities under conditional indexation
- Portfolio risk minimization and differential games
- Stochastic differential equations. An introduction with applications.
- Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
- Stochastic optimal control of DC pension funds
- Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes
Cited in
(16)- Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes
- A BSDE approach to risk-based asset allocation of pension funds with regime switching
- Optimal investment strategies for a defined contribution pension plan under a Markov-regime switching model
- Optimal investment for a defined-contribution pension scheme under a regime switching model
- Premium valuation of the pension benefit guaranty corporation with regime switching
- Equilibrium strategies in a defined benefit pension plan game with regime switching
- Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching
- scientific article; zbMATH DE number 2054509 (Why is no real title available?)
- Stochastic investment returns and contribution rate risk in a defined benefit pension scheme
- Pension funding problem with regime-switching geometric Brownian motion assets and liabilities
- Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance
- A defined benefit pension plan game with Brownian and Poisson jumps uncertainty
- Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings
- Stochastic pension fund control in the presence of Poisson jumps
- Mean-variance investment and contribution decisions for defined benefit pension plans in a stochastic framework
- A defined benefit pension plan model with stochastic salary and heterogeneous discounting
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