Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
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- Stochastic pension fund modelling
- Sur certaines fonctionnelles exponentielles du mouvement brownien réel
- The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
- Theory of constant proportion portfolio insurance
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- Intergenerational risk sharing in pay-as-you-go pension schemes*
- Optimal investment and benefit strategies for a target benefit pension plan where the risky assets are jump diffusion processes
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- Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
- Optimal investment for a pension fund under inflation risk
- Optimal risk management in defined benefit stochastic pension funds
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- The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
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