Impulse control of pension fund contributions, in a regime switching economy

DOI10.1016/J.EJOR.2014.06.016MaRDI QIDQ297413zbMATH OpenOpenAlexFDO

Authors Donatien Hainaut

Publication date 27 June 2016

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2014.06.016

zbMATH Keywords

regime switchingtransaction costsimpulse controlliquidity riskpension fund

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Dynamic programming in optimal control and differential games (49L20) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A Regime-Switching Model of Long-Term Stock Returns
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Asset allocation under multivariate regime switching
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• Dynamic approaches to pension funding
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• Interest rate models -- theory and practice. With smile, inflation and credit
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• On the control of defined-benefit pension plans
• Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
• Optimal investment decisions with a liability: the case of defined benefit pension plans
• Optimal pension funding dynamics over infinite control horizon when stochastic rates of return are stationary
• Optimal risk management in defined benefit stochastic pension funds
• Portfolio optimisation with strictly positive transaction costs and impulse control
• Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
• Some applications of impulse control in mathematical finance
• Stochastic pension fund control in the presence of Poisson jumps
• Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes
• Strategic asset allocation with switching dependence

Cited in

(12)

• Optimal transition to renewable energy with threshold of irreversible pollution
• PRODUCT CHOICE UNDER GOVERNMENT REGULATION: THE CASE OF CHILE'S PRIVATIZED PENSION SYSTEM
• Stochastic impulse control with regime-switching dynamics
• A defined benefit pension plan game with Brownian and Poisson jumps uncertainty
• Strong versions of impulsive controllability and sampled observability
• Equilibrium strategies in a defined benefit pension plan game with regime switching
• Clustering financial time series: new insights from an extended hidden Markov model
• Valuation of annuity guarantees under a self-exciting switching jump model
• Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance
• Management of online server congestion using optimal demand throttling
• Equilibrium strategies in a defined benefit pension plan game
• Controlling a demographic wave in defined contribution pension systems

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