scientific article; zbMATH DE number 2054509

MaRDI QIDQ4454958zbMATH OpenFDO

Authors Shih-Chieh Chang, Chenghsien Tsai, Chia-Jung Tien, Chang-Ye Tu

Publication date 9 March 2004

zbMATH Keywords

optimal contribution, asset allocation, dynamic programming, performance measure

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Dynamic programming (90C39) Optimal stochastic control (93E20)

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Cited in

(9)

• The Innovest Austrian Pension Fund Financial Planning Model InnoALM
• Impulse control of pension fund contributions, in a regime switching economy
• DYNAMIC HEDGING STRATEGIES FOR CASH BALANCE PENSION PLANS
• Risk measurement and management of defined benefit pension schemes: a stochastic approach
• Performance enhancements for defined benefit pension plans
• Optimal contributions in a defined benefit pension scheme with stochastic new entrants
• Mean-variance portfolio and contribution selection in stochastic pension funding
• Pension funds with longevity risk: an optimal portfolio insurance approach
• Equilibrium strategies in a defined benefit pension plan game

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