Impulse control of pension fund contributions, in a regime switching economy
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Publication:297413
DOI10.1016/j.ejor.2014.06.016zbMath1339.91141OpenAlexW3123879748MaRDI QIDQ297413
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
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Related Items (8)
Clustering financial time series: new insights from an extended hidden Markov model ⋮ Optimal transition to renewable energy with threshold of irreversible pollution ⋮ Valuation of annuity guarantees under a self-exciting switching jump model ⋮ Management of online server congestion using optimal demand throttling ⋮ A defined benefit pension plan game with Brownian and Poisson jumps uncertainty ⋮ Equilibrium strategies in a defined benefit pension plan game ⋮ Stochastic impulse control with regime-switching dynamics ⋮ Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance
Cites Work
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- Interest rate models -- theory and practice. With smile, inflation and credit
- Optimal risk management in defined benefit stochastic pension funds
- Stochastic pension fund control in the presence of Poisson jumps
- Asset allocation under multivariate regime switching
- Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
- Portfolio optimisation with strictly positive transaction costs and impulse control
- Dynamic approaches to pension funding
- Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes
- Some applications of impulse control in mathematical finance
- Mean-variance portfolio and contribution selection in stochastic pension funding
- Optimal pension funding dynamics over infinite control horizon when stochastic rates of return are stationary
- Optimal investment decisions with a liability: the case of defined benefit pension plans
- On the control of defined-benefit pension plans
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Continuous Auctions and Insider Trading
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
- A Regime-Switching Model of Long-Term Stock Returns
- Forecasting multifractal volatility
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