Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model
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Cites work
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- scientific article; zbMATH DE number 1396448 (Why is no real title available?)
- An optimal portfolio problem in a defaultable market
- Dynamic portfolio optimization with a defaultable security and regime-switching
- Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk
- Mathematical methods for financial markets.
- Mean-variance portfolio optimization with state-dependent risk aversion
- Optimal asset allocation for DC pension plans under inflation
- Optimal design of the guarantee for defined contribution funds
- Optimal dividend strategies with time-inconsistent preferences
- Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model
- Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework
- Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
- Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
- Optimal reinsurance and investment problem for an insurer with counterparty risk
- Pension funds with a minimum guarantee: a stochastic control approach
- Portfolio choices and VaR constraint with a defaultable asset
- Portfolio optimization with a defaultable security
- Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model
- Pricing the risks of default
- Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
- Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
Cited in
(38)- Robust optimal investment and benefit payment adjustment strategy for target benefit pension plans under default risk
- Optimal investment strategy for a family with a random household expenditure under the CEV model
- Optimal portfolio selection for a defined-contribution plan under two administrative fees and return of premium clauses
- Equilibrium investment strategy for a DC pension plan with learning about stock return predictability
- Robust optimal investment strategy for a DC pension plan in the market with mispricing and constant elasticity of variance
- Equilibrium investment strategy for DC pension plan with inflation and stochastic income under Heston's SV model
- Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model
- Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause
- Optimal portfolios for DC pension plans under a CEV model
- Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model
- Robust optimal proportional reinsurance and investment strategy for an insurer with defaultable risks and jumps
- EQUILIBRIUM WITH EXCESSIVE HOLDINGS CONSTRAINT: AN APPLICATION TO DC PENSION PLANS
- DC pension plan with the return of premium clauses under inflation risk and volatility risk
- Nash equilibrium strategy for a DC pension plan with state-dependent risk aversion: a multiperiod mean-variance framework
- Robust equilibrium strategy for DC pension plan with the return of premiums clauses in a jump-diffusion model
- Equilibrium investment strategy for defined contribution pension plans with the return of premiums clauses under Heston model
- Optimal investment strategy for a robust DC pension plan under the Heston model
- Optimal investment and life insurance strategies in a mixed jump-diffusion framework
- Optimal investment strategy for a DC pension plan with mispricing under the Heston model
- Optimal investment problem for DC pension plan with return of death and accident clauses
- On the investment strategies in occupational pension plans
- Robust non-zero-sum investment and reinsurance game with default risk
- An optimal portfolio problem of DC pension with input-delay and jump-diffusion process
- A stochastic Stackelberg differential reinsurance and investment game with delay in a defaultable market
- Time-consistent strategies between two competitive DC pension plans with the return of premiums clauses and salary risk
- \(\alpha\)-robust optimal investment strategy for target benefit pension plans under default risk
- Robust optimal investment strategy of DC pension plans with stochastic salary and a return of premiums clause
- Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance
- Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework
- Defined contribution pension planning with the return of premiums clauses and HARA preference in stochastic environments
- Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk
- A Stackelberg reinsurance-investment game under Heston's stochastic volatility model
- Optimal portfolios for the DC pension fund with mispricing under the HARA utility framework
- Optimal investment and benefit payment strategies for TB pension plans with stochastic interest rate under the HARA utility
- Equilibrium investment strategy for a DC pension plan with derivative trading
- Optimal investment policy for insurers under the constant elasticity of variance model with a correlated random risk process
- Optimal defined-contribution pension management with financial and mortality risks
- Time consistent investment strategy of DC pension with premium return clause under partial information
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