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

DOI10.1016/j.insmatheco.2015.05.008zbMath1348.91167OpenAlexW841952077MaRDI QIDQ495461

Ming Ma, Zongxia Liang

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 marketstochastic dynamic programmingmortality riskmartingale methodassets liabilities management (ALM)optimal dynamic asset allocationsalary risk

Mathematics Subject Classification ID

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

Related Items

Defined contribution pension planning with the return of premiums clauses and HARA preference in stochastic environments, Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences, 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, Robust optimal strategies of DC pension plans with stochastic volatility and stochastic income under mean-variance criteria, CONTINUOUS-TIME MEAN–VARIANCE OPTIMIZATION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH REGIME-SWITCHING

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