Optimal investment strategies for DC occupational pension fund based stochastic contribution flow model: under the constraint of a minimum guarantee

DOI10.16366/J.CNKI.1000-2367.2020.02.002MaRDI QIDQ5127697zbMATH OpenFDO

Authors Yonghui Zhai, YiWei Wang, Qinghui Gao

Publication date 27 October 2020

zbMATH Keywords

stochastic optimal controlmartingale methodminimum guaranteeoccupational pension fund

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Martingales with continuous parameter (60G44) Optimal stochastic control (93E20)

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Cited in

(4)

• Optimal mix between pay-as-you-go and funding for DC pension schemes in an overlapping generations model
• Optimal investment strategy for occupational pension based on exponential utility function
• Optimal investment of DC pension plan with minimum guarantee
• Personal optimal investment strategy for occupational pension based on CRRA utility function

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