Optimal investment decisions with a liability: the case of defined benefit pension plans

DOI10.1016/j.insmatheco.2006.01.005zbMath1147.91341OpenAlexW2161768172MaRDI QIDQ2507610

Juan Pablo Rincón-Zapatero, Ricardo Josa-Fombellida

Publication date: 5 October 2006

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/5572

zbMATH Keywords

stochastic controlportfolio theoryrisk managementpension funding

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items

Impulse control of pension fund contributions, in a regime switching economy ⋮ Funding and investment decisions in a stochastic defined benefit pension plan with regime switching ⋮ Robust optimal asset-liability management with penalization on ambiguity ⋮ Dynamic surplus optimization with performance- and index-linked liabilities ⋮ Mean-variance portfolio and contribution selection in stochastic pension funding ⋮ A defined benefit pension plan game with Brownian and Poisson jumps uncertainty ⋮ Equilibrium strategies in a defined benefit pension plan game ⋮ Optimal decision on dynamic insurance price and investment portfolio of an insurer ⋮ Optimal investment strategy for asset-liability management under the Heston model ⋮ Managing contribution and capital market risk in a funded public defined benefit plan: impact of CVaR cost constraints ⋮ A benchmarking approach to optimal asset allocation for insurers and pension funds ⋮ Downside Risk Management of a Defined Benefit Plan Considering Longevity Basis Risk ⋮ Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance ⋮ Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates

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