-robust optimal investment strategy for target benefit pension plans under default risk

zbMATH Open1524.91091MaRDI QIDQ6155225FDOQ6155225

Authors: Yuan Shi, Yongxia Zhao 

Publication date: 12 June 2023

Full work available at URL: http://121.43.60.238/sxwlxbA/EN/abstract/abstract16711.shtml

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• Robust optimal investment and benefit payment adjustment strategy for target benefit pension plans under default risk
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• Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model

zbMATH Keywords

default riskintergenerational risk sharingtarget benefit plan\(\alpha\)-robustreturn of premiums

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Portfolio theory (91G10) Optimal stochastic control (93E20) Hamilton-Jacobi equations in optimal control and differential games (49L12)

Cites Work

• A Smooth Model of Decision Making under Ambiguity
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• Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model
• Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
• Alpha-robust mean-variance reinsurance-investment strategy
• Optimal investment strategies and intergenerational risk sharing for target benefit pension plans
• Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
• Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk
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• Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan
• Equilibrium strategies for alpha-maxmin expected utility maximization
• Optimal DB-PAYGO pension management towards a habitual contribution rate
• Robust optimal investment and benefit payment adjustment strategy for target benefit pension plans under default risk
• Alpha-robust mean-variance investment strategy for DC pension plan with uncertainty about jump-diffusion risk

Cited In (4)

• Alpha-robust mean-variance investment strategy for DC pension plan with uncertainty about jump-diffusion risk
• Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
• Optimal strategies for target benefit pension plans with longevity risk in ambiguous environments
• Robust time-consistent strategy for the defined contribution pension plan with a minimum guarantee under ambiguity

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