Optimal dynamic asset allocation of pension fund in mortality and salary risks framework
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Publication:495461
DOI10.1016/j.insmatheco.2015.05.008zbMath1348.91167OpenAlexW841952077MaRDI QIDQ495461
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
incomplete marketstochastic dynamic programmingmortality riskmartingale methodassets liabilities management (ALM)optimal dynamic asset allocationsalary risk
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