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

DOI10.16366/J.CNKI.1000-2367.2020.02.002zbMATH Open1463.91122MaRDI QIDQ5127697FDOQ5127697

Authors: Yonghui Zhai, YiWei Wang, Qinghui Gao 

Publication date: 27 October 2020

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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)

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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