Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas

DOI10.1080/14697688.2022.2092329zbMATH Open1500.91114OpenAlexW4285039035MaRDI QIDQ5039636FDOQ5039636

Giorgio Consigli, Zhiping Chen, Zhe Yan, Bing-Bing Ji

Publication date: 30 September 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2022.2092329

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zbMATH Keywords

sensitivity analysisdynamic programmingmultistage stochastic programmingstrategic asset allocationChinese public pension fundlong-term sustainability

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Dynamic programming (90C39) Stochastic programming (90C15)

Cites Work

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• THE ANALYTIC APPROACH FOR THE STOCHASTIC PROJECTION OF THE PUBLIC PENSION FUND
• Optimal chance-constrained pension fund management through dynamic stochastic control

Cited In (1)

• Nonlinear differential equations and feedback control design for the urban-rural resident pension insurance in China

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