Optimal investment of DC pension plan under incentive schemes and loss aversion

DOI10.1155/2020/5145848MaRDI QIDQ6534689zbMATH OpenFDO

Authors Yinghui Dong, Wenxin Lv, Yeyang Gong

Publication date 14 May 2021

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2020/5145848

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Optimal stochastic control (93E20)

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Cites work

• Advances in prospect theory: cumulative representation of uncertainty
• 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
• Fair valuation of life insurance contracts under a correlated jump diffusion model
• Optimal asset allocation for participating contracts under the VaR and PI constraint
• Optimal Control of DC Pension Plan Management under Two Incentive Schemes
• Optimal investment and benefit payment strategy under loss aversion for target benefit pension plans
• Optimal investment of DC pension plan under short-selling constraints and portfolio insurance
• Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan
• Optimal management of DC pension plan under loss aversion and value-at-risk constraints
• Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
• Prospect Theory: An Analysis of Decision under Risk
• Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate
• Valuing equity-linked death benefits in general exponential Lévy models

Cited in

(4)

• Optimal assets allocation and benefit outgo policies of DC pension plan with compulsory conversion claims
• Optimal investment of DC pension plan under loss aversion and LEL constraint
• Optimal investment strategy for the DC pension plan based on jump diffusion model and S-shaped utility
• Optimal investment and benefit adjustment problem for a hybrid pension plan with longevity trend under the CEV model

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