Target benefit versus defined contribution scheme: a multi-period framework

DOI10.1017/ASB.2023.27zbMATH Open1548.91093MaRDI QIDQ6569738FDOQ6569738

Authors: Ping Chen, Haixiang Yao, Hailiang Yang, Dan Zhu 

Publication date: 9 July 2024

Published in: ASTIN Bulletin (Search for Journal in Brave)

Recommendations

• Optimal investment strategies and intergenerational risk sharing for target benefit pension plans
• Optimal assets allocation and benefit adjustment strategy with longevity risk for target benefit pension plans
• Optimal investment and benefit payment strategy under loss aversion for target benefit pension plans
• Robust optimal investment and benefit payment adjustment strategy for target benefit pension plans under default risk
• Optimal investment and benefit payment strategies for TB pension plans with stochastic interest rate under the HARA utility

zbMATH Keywords

optimal investmentmulti-periodreplacement ratecollective defined contributionstochastic wage

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites Work

• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Target-driven investing: optimal investment strategies in defined contribution pension plans under loss aversion
• Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
• A Two-Sector Overlapping-Generations Model: A Global Characterization of the Dynamical System
• Conditions for nonnegativeness of partitioned matrices
• Current developments in German pension schemes: what are the benefits of the new target pension?
• Optimal investment strategies and intergenerational risk sharing for target benefit pension plans

This page was built for publication: Target benefit versus defined contribution scheme: a multi-period framework

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6569738)