Retirement planning in individual asset-liability management

DOI10.1093/IMAMAN/DPS019zbMATH Open1250.91056OpenAlexW2054634042MaRDI QIDQ3165705FDOQ3165705

Authors: Giorgio Consigli, Gaetano Iaquinta, V. Moriggia, Massimo di Tria, Davide Musitelli 

Publication date: 29 October 2012

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dps019

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zbMATH Keywords

multistage stochastic programmingasset-liability managementindividual retirement planningprivate pension plansvariable life annuities

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Stochastic programming (90C15)

Cited In (12)

• Optimal retirement planning with a focus on single and joint life annuities
• Individual optimal pension allocation under stochastic dominance constraints
• Pension fund management with investment certificates and stochastic dominance
• Personalized goal-based investing via multi-stage stochastic goal programming
• A combined stochastic programming and optimal control approach to personal finance and pensions
• Optimal investment for a retirement plan with deferred annuities
• Optimal investment for a retirement plan with deferred annuities allowing for inflation and labour income risk
• Lifetime consumption and investment with housing, deferred annuities and home equity release
• Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints
• A Retirement Plan Based on Fixed Accumulation and Variable Accrual
• Novel utility-based life cycle models to optimise income in retirement
• Large-scale financial planning via a partially observable stochastic dual dynamic programming framework

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