Pension funds with a minimum guarantee: a stochastic control approach
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Cites work
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- scientific article; zbMATH DE number 2174796 (Why is no real title available?)
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Cited in
(51)- Optimal investment risks and debt management with backup security in a financial crisis
- Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
- Multi-period Telser's safety-first portfolio selection problem in a defined contribution pension plan
- Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model
- A stochastic control problem with delay arising in a pension fund model
- A simple numerical solution for an optimal investment strategy for a DC pension plan in a jump diffusion model
- Robust optimal strategies of DC pension plans with stochastic volatility and stochastic income under mean-variance criteria
- Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
- Constant proportion portfolio insurance in defined contribution pension plan management
- Optimal portfolio choice and consistent performance
- Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk
- Fair demographic risk sharing in defined contribution pension systems
- Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework
- On the sub-optimality cost of immediate annuitization in DC pension funds
- Investment strategies in the presence of a minimum performance guarantee under stochastic interest rate
- Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
- Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
- A stochastic model of economic growth in time-space
- Optimal tracking portfolio with a ratcheting capital benchmark
- Optimal DC pension investment with square-root factor processes under stochastic income and inflation risks
- Income drawdown option with minimum guarantee
- Stochastic optimal control of annuity contracts.
- Time-consistent investment strategy for DC pension plan with stochastic salary under CEV model
- Optimal design of the guarantee for defined contribution funds
- Optimal investment strategies with a minimum performance constraint
- Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model
- Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework
- Optimal asset allocation for a DC plan with partial information under inflation and mortality risks
- Stochastic control of funding systems.
- Optimal pension fund management in a jump-diffusion environment: theoretical and empirical studies
- Time-consistent strategies between two competitive DC pension plans with the return of premiums clauses and salary risk
- The Management of Decumulation Risks in a Defined Contribution Pension Plan
- Internal habits formation and optimality
- Nash equilibrium strategies for a defined contribution pension management
- Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk
- Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
- A Stackelberg game of backward stochastic differential equations with partial information
- Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model
- Defined contribution pension planning with the return of premiums clauses and HARA preference in stochastic environments
- Impact of time illiquidity in a mixed market without full observation
- Multi-period defined contribution pension funds investment management with regime-switching and mortality risk
- Optimal portfolio choice with path dependent labor income: the infinite horizon case
- Optimal chance-constrained pension fund management through dynamic stochastic control
- On optimal investment strategy of pension funds with a minimum guarantee under Knightian uncertainty
- On efficiency of mean-variance based portfolio selection in defined contribution pension schemes
- Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty
- Pension funds with longevity risk: an optimal portfolio insurance approach
- Optimal pension fund management under risk and uncertainty: the case study of Poland
- A pension fund in the accumulation phase: a stochastic control approach
- Robust equilibrium strategy for DC pension plan with the return of premiums clauses in a jump-diffusion model
- Time-consistent pension policy with minimum guarantee and sustainability constraint
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