Time-consistent investment strategy for a DC pension plan with hidden Markov regime switching

DOI10.1016/j.cam.2023.115058zbMath1519.91220OpenAlexW4313829522MaRDI QIDQ6100577

Hao Zhou, Liuling Luo, Xing-Chun Peng

Publication date: 22 June 2023

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2023.115058

zbMATH Keywords

hidden Markov chaininvestmenttime-consistent strategystochastic salaryDC pension plan

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Actuarial mathematics (91G05)

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