Optimal dynamic asset allocation of pension fund in mortality and salary risks framework
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Publication:495461
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Cites work
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- Delta-gamma hedging of mortality and interest rate risk
- Life Annuitization: Why and how Much?
- Management of a pension fund under mortality and financial risks
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Optimal design of the guarantee for defined contribution funds
- Optimal dynamic asset allocation strategy for ELA scheme of DC pension plan during the distribution phase
- Optimal investment strategies in the presence of a minimum guarantee.
- Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework
- Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
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- Optimum consumption and portfolio rules in a continuous-time model
- Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase
- Point processes and queues. Martingale dynamics
- Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
- Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
Cited in
(16)- Robust optimal strategies of DC pension plans with stochastic volatility and stochastic income under mean-variance criteria
- Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases
- Optimal Defined Contribution Pension Management with Salary and Risky Assets Following Jump Diffusion Processes
- Robust optimal asset-liability management under square-root factor processes and model ambiguity: a BSDE approach
- Cyclical risk exposure of pension funds: a theoretical framework
- Asset and liability risk management in financial markets
- Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
- Robust asset-liability management games for \(n\) players under multivariate stochastic covariance models
- Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching
- scientific article; zbMATH DE number 2054509 (Why is no real title available?)
- Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences
- Management of a pension fund under mortality and financial risks
- scientific article; zbMATH DE number 7326167 (Why is no real title available?)
- Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate
- Optimal asset-liability management with liquidity constraints and stochastic interest rates in the expected utility framework
- Defined contribution pension planning with the return of premiums clauses and HARA preference in stochastic environments
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