Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework

DOI10.1016/j.insmatheco.2014.05.004zbMath1304.91193OpenAlexW2064561530MaRDI QIDQ2513440

Zongxia Liang, Guohui Guan

Publication date: 28 January 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.05.004

zbMATH Keywords

stochastic volatilitystochastic dynamic programmingstochastic interest ratedefined contribution pension planstochastic contribution rateminimum guaranteeCRRA utility

Mathematics Subject Classification ID

Stochastic programming (90C15) Stochastic models in economics (91B70) Dynamic programming (90C39) Optimal stochastic control (93E20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)

Related Items

Robust equilibrium strategy for DC pension plan with the return of premiums clauses in a jump-diffusion model ⋮ Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk ⋮ Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market ⋮ Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model ⋮ DETERMINISTIC INVESTMENT STRATEGY IN A DC PENSION PLAN WITH INFLATION RISK UNDER MEAN-VARIANCE CRITERION ⋮ Multi-period defined contribution pension funds investment management with regime-switching and mortality risk ⋮ Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility ⋮ Time-consistent investment strategy for DC pension plan with stochastic salary under CEV model ⋮ Valuing inflation-linked death benefits under a stochastic volatility framework ⋮ Optimal management of DC pension plan under loss aversion and value-at-risk constraints ⋮ Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility ⋮ Optimal investment strategy for a DC pension plan with mispricing under the Heston model ⋮ Optimal investment and life insurance strategies in a mixed jump-diffusion framework ⋮ On the investment strategies in occupational pension plans ⋮ Time-consistent investment strategies for a DC pension member with stochastic interest rate and stochastic income ⋮ Robust time-consistent strategy for the defined contribution pension plan with a minimum guarantee under ambiguity ⋮ Hedging longevity risk in defined contribution pension schemes ⋮ Optimal DC pension investment with square-root factor processes under stochastic income and inflation risks ⋮ Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach ⋮ Defined contribution pension planning with the return of premiums clauses and HARA preference in stochastic environments ⋮ Time-consistent investment strategy for a DC pension plan with hidden Markov regime switching ⋮ An optimal portfolio problem of DC pension with input-delay and jump-diffusion process ⋮ Optimal investment in defined contribution pension schemes with forward utility preferences ⋮ Optimal portfolios for the DC pension fund with mispricing under the HARA utility framework ⋮ Weighted utility optimization of the participating endowment contract ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Relative performance concern on DC pension plan under Heston model with inflation risk ⋮ Determining equivalent administrative charges for defined contribution pension plans under CEV model ⋮ Optimal investment strategy for asset-liability management under the Heston model ⋮ PORTFOLIO INSURANCE STRATEGIES FOR A TARGET ANNUITIZATION FUND ⋮ Optimal investment of DC pension plan under short-selling constraints and portfolio insurance ⋮ Equilibrium investment strategy for a DC pension plan with learning about stock return predictability ⋮ Optimal dynamic asset allocation of pension fund in mortality and salary risks framework ⋮ Optimal reinsurance-investment strategy under risks of interest rate, exchange rate and inflation ⋮ Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate ⋮ Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model ⋮ Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform ⋮ Optimal investment strategies with a minimum performance constraint ⋮ Optimal Control of DC Pension Plan Management under Two Incentive Schemes ⋮ Equilibrium investment strategy for DC pension plan with inflation and stochastic income under Heston's SV model ⋮ Optimal consumption and portfolio decision with convertible bond in affine interest rate and Heston's SV framework ⋮ Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility ⋮ Optimal portfolio selection for a defined-contribution plan under two administrative fees and return of premium clauses ⋮ A stochastic Nash equilibrium portfolio game between two DC pension funds ⋮ A simple numerical solution for an optimal investment strategy for a DC pension plan in a jump diffusion model ⋮ Management strategies for a defined contribution pension fund under the hybrid stochastic volatility model ⋮ Robust optimal strategies of DC pension plans with stochastic volatility and stochastic income under mean-variance criteria ⋮ Management of Portfolio Depletion Risk through Optimal Life Cycle Asset Allocation ⋮ CONTINUOUS-TIME MEAN–VARIANCE OPTIMIZATION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH REGIME-SWITCHING ⋮ Optimal pension fund management under risk and uncertainty: the case study of Poland ⋮ Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework ⋮ Optimal management of DC pension fund under the relative performance ratio and VaR constraint ⋮ Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate

Cites Work

• Unnamed Item
• Pension funds with a minimum guarantee: a stochastic control approach
• Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model
• Optimal investment choices post-retirement in a defined contribution pension scheme
• Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
• Optimal financing and dividend control of the insurance company with proportional reinsurance policy
• Optimal design of the guarantee for defined contribution funds
• Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
• Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs
• Optimal investment strategies and risk measures in defined contribution pension schemes.
• Optimal investment strategies in the presence of a minimum guarantee.
• Optimal pension management in a stochastic framework.
• An investment and consumption problem with CIR interest rate and stochastic volatility
• Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs
• Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model
• Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
• Pricing variable annuity guarantees in a local volatility framework
• Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model
• Optimal asset allocation for DC pension plans under inflation
• Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
• Optimal management and inflation protection for defined contribution pension plans
• On efficiency of mean–variance based portfolio selection in defined contribution pension schemes
• On the Heston Model with Stochastic Interest Rates
• Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
• Optimal investment strategy for defined contribution pension schemes