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

MaRDI QIDQ6155225zbMATH OpenFDO

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

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)

Recommendations

• Robust optimal investment and benefit payment adjustment strategy for target benefit pension plans under default risk
• Optimal strategies for target benefit pension plans with longevity risk in ambiguous environments
• Alpha-robust mean-variance investment strategy for DC pension plan with uncertainty about jump-diffusion risk
• Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model

Cites work

• A Smooth Model of Decision Making under Ambiguity
• Alpha-robust mean-variance investment strategy for DC pension plan with uncertainty about jump-diffusion risk
• Alpha-robust mean-variance reinsurance-investment strategy
• 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
• Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
• Differentiating ambiguity and ambiguity attitude
• Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model
• Equilibrium strategies for alpha-maxmin expected utility maximization
• Optimal DB-PAYGO pension management towards a habitual contribution rate
• Optimal investment and benefit payment strategy under loss aversion for target benefit pension plans
• Optimal investment strategies and intergenerational risk sharing for target benefit pension plans
• Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan
• Optimal management of DC pension plan under loss aversion and value-at-risk constraints
• Optimal portfolios for DC pension plans under a CEV model
• Portfolio optimization with a defaultable security
• Preference and belief: ambibiguity and competence in choice under uncertainty
• Probabilistic Sophistication and Multiple Priors
• Robust optimal investment and benefit payment adjustment strategy for target benefit pension plans under default risk
• Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility

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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