Optimal management of DC pension plan under loss aversion and value-at-risk constraints

DOI10.1016/j.insmatheco.2016.05.014zbMath1369.91197OpenAlexW2412841086MaRDI QIDQ344000

Guohui Guan, Zongxia Liang

Publication date: 21 November 2016

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.05.014

zbMATH Keywords

loss aversionvalue-at-riskstochastic interest rateportfolio choicedefined contribution pension planmartingale methodstochastic contribution rate

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (26)

Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk ⋮ Portfolio optimization with a guaranteed minimum maturity benefit and risk-adjusted fees ⋮ Decrease of capital guarantees in life insurance products: can reinsurance stop it? ⋮ 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 ⋮ Optimal investment of DC pension plan with two VaR constraints ⋮ Time-consistent investment strategies for a DC pension member with stochastic interest rate and stochastic income ⋮ Portfolio choice with illiquid asset for a loss-averse pension fund investor ⋮ 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 ⋮ Robust reinsurance contracts with risk constraint ⋮ 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 of DC pension plan under short-selling constraints and portfolio insurance ⋮ Linear quadratic mean-field-game of backward stochastic differential systems ⋮ Optimal investment and benefit payment strategy under loss aversion for target benefit pension plans ⋮ Optimal Control of DC Pension Plan Management under Two Incentive Schemes ⋮ Optimal portfolio selection for a defined-contribution plan under two administrative fees and return of premium clauses ⋮ Optimal asset allocation for participating contracts under the VaR and PI constraint ⋮ CONTINUOUS-TIME MEAN–VARIANCE OPTIMIZATION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH REGIME-SWITCHING ⋮ Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan ⋮ Optimal pension fund management under risk and uncertainty: the case study of Poland ⋮ Relationship between backward and forward linear-quadratic mean-field-game with terminal constraint and optimal asset allocation for insurers and pension funds ⋮ Optimal management of DC pension fund under the relative performance ratio and VaR constraint

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