Retirement planning in individual asset-liability management

DOI10.1093/IMAMAN/DPS019MaRDI QIDQ3165705zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(12)

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

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