Pension funding problem with regime‐switching geometric Brownian motion assets and liabilities

DOI10.1002/asmb.776zbMath1224.91050MaRDI QIDQ5391298

Hailiang Yang, Ping Chen

Publication date: 6 April 2011

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/128527

zbMATH Keywords

regime switching; optimal dividend problem; geometric Brownian motion assets and liabilities; pension funding problem

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

60H30: Applications of stochastic analysis (to PDEs, etc.)

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

91G50: Corporate finance (dividends, real options, etc.)

Related Items

ON THE DISTRIBUTION OF THE EXCEDENTS OF FUNDS WITH ASSETS AND LIABILITIES IN PRESENCE OF SOLVENCY AND RECOVERY REQUIREMENTS, A reduced-form model with default intensities containing contagion and regime-switching Vasicek processes, Equilibrium investment strategy for DC pension plan with inflation and stochastic income under Heston's SV model, On a reduced form credit risk model with common shock and regime switching

Cites Work

• Unnamed Item
• Unnamed Item
• Pricing exotic options under regime switching
• Robust optimal portfolio choice under Markovian regime-switching model
• Controlled diffusion models for optimal dividend pay-out
• Classical and singular stochastic control for the optimal dividend policy when there is regime switching
• Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
• Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example
• Optimal Threshold Dividend Strategies under the Compound Poisson Model with Regime Switching
• AMERICAN OPTIONS WITH REGIME SWITCHING
• On Markov‐modulated Exponential‐affine Bond Price Formulae
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• Optimal Dynamic Premium Control in Non-life Insurance. Maximizing Dividend Pay-outs
• Games of Economic Survival with Discrete- and Continuous-Income Processes
• Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends
• Optimal Dividends
• A Regime-Switching Model of Long-Term Stock Returns
• On the Time Value of Ruin