Optimal dynamic asset allocation of pension fund in mortality and salary risks framework

DOI10.1016/J.INSMATHECO.2015.05.008MaRDI QIDQ495461zbMATH OpenOpenAlexFDO

Authors Zongxia Liang, Ming Ma

Publication date 14 September 2015

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2015.05.008

zbMATH Keywords

incomplete marketmortality riskstochastic dynamic programmingmartingale methodassets liabilities management (ALM)optimal dynamic asset allocationsalary risk

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

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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
• Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
• 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

(20)

• Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
• Efficient hedging of life insurance portfolio for loss-averse insurers
• scientific article; zbMATH DE number 7326167 (Why is no real title available?)
• 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
• Robust asset-liability management games for \(n\) players under multivariate stochastic covariance models
• Optimal Defined Contribution Pension Management with Salary and Risky Assets Following Jump Diffusion Processes
• Robust two-player differential investment game of defined contribution pension plans under multiple risks
• Cyclical risk exposure of pension funds: a theoretical framework
• Asset and liability risk management in financial markets
• Robust Nash equilibrium for defined contribution pension games with delay 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?)
• Defined contribution pension planning with the return of premiums clauses and HARA preference in stochastic environments
• Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate
• Robust optimal asset-liability management under square-root factor processes and model ambiguity: a BSDE approach
• Management of a pension fund under mortality and financial risks
• Optimal asset-liability management with liquidity constraints and stochastic interest rates in the expected utility framework
• Optimal income drawdown and investment with longevity basis risk
• Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences

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