Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model

DOI10.1016/J.INSMATHECO.2009.02.006zbMATH Open1231.91402OpenAlexW2086658597MaRDI QIDQ659085FDOQ659085

Authors: Jianwei Gao 

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.02.006

Recommendations

• Constant elasticity of variance model and analytical strategies for annuity contracts
• An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts
• The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
• The \textit{CEV} model and its application in a study of optimal investment strategy
• Optimal investment strategies for the HARA utility under the constant elasticity of variance model

zbMATH Keywords

CEV modelstochastic optimal controlannuitydefined contribution pension planLegendre transform

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Cites Work

• The pricing of options and corporate liabilities
• The dynamics of stochastic volatility: evidence from underlying and options markets
• Optimal investment strategies and risk measures in defined contribution pension schemes.
• Stochastic optimal control of annuity contracts.
• The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Pensionmetrics 2: Stochastic pension plan design during the distribution phase.
• Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase
• Optimal investment choices post-retirement in a defined contribution pension scheme
• Optimal design of the guarantee for defined contribution funds
• Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
• Back-testing the performance of an actively managed option portfolio at the Swedish stock market, 1990-1999
• Constant elasticity of variance (CEV) option pricing model: Integration and detailed derivation
• Title not available (Why is that?)
• The valuation of American options for a class of diffusion processes
• Investment Policy for Defined-Contribution Pension Scheme Members Close to Retirement

Cited In (51)

• Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform
• A dynamic Heston local-stochastic volatility model and Legendre transform dual-asymptotic solution for optimal investment strategy problems with CARA utility
• Legendre transform-dual solution for a class of investment and consumption problems with HARA utility
• A stochastic Nash equilibrium portfolio game between two DC pension funds
• Leverage effect breakdowns and flight from risky assets
• Optimal investment strategy for a DC pension plan with mispricing under the Heston model
• Optimal investment-reinsurance strategy in the correlated insurance and financial markets
• Optimal excess-of-loss reinsurance and investment problem with thinning dependent risks under Heston model
• Optimal reinsurance-investment problem in a constant elasticity of variance stock market for jump-diffusion risk model
• Optimal reinsurance and investment for a jump diffusion risk process under the CEV model
• The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
• Optimal investment strategy with constant absolute risk aversion utility under an extended CEV model
• Asymptotic analysis for portfolio optimization problem under two-factor Heston's stochastic volatility model
• Optimal investment strategy for a family with a random household expenditure under the CEV model
• Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
• Inter‐temporal mutual‐fund management
• Optimal portfolio and consumption rule with a CIR model under HARA utility
• Optimal investment strategies for general utilities under dynamic elasticity of variance models
• Time-consistent investment strategy for DC pension plan with stochastic salary under CEV model
• Optimal investment policy for insurers under the constant elasticity of variance model with a correlated random risk process
• Optimal investment strategies for DC pension with stochastic salary under the affine interest rate model
• Invariant approach to optimal investment-consumption problem: the constant elasticity of variance (CEV) model
• Optimal investment strategy under the CEV model with stochastic interest rate
• Optimal management of DC pension plan under loss aversion and value-at-risk constraints
• Optimal reinsurance-investment problem for maximizing the product of the insurer's and the reinsurer's utilities under a CEV model
• Optimal investment strategy for a robust DC pension plan under the Heston model
• Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance
• Portfolio selection problem with multiple risky assets under the constant elasticity of variance model
• Robust time-consistent portfolio selection for an investor under CEV model with inflation influence
• Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models
• Mean-variance asset-liability management under constant elasticity of variance process
• A general optimization framework for the annuity contracts with multiscale stochastic volatility
• Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model
• Optimal investment strategies for the HARA utility under the constant elasticity of variance model
• Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
• Optimal portfolio for a defined-contribution pension plan under a constant elasticity of variance model with exponential utility
• Optimal time-consistent investment strategy for a DC pension plan with the return of premiums clauses and annuity contracts
• Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model
• Family optimal investment decision-making problem under CEV model
• Optimal consumption and portfolios with the hyperbolic absolute risk aversion preference under the CEV model
• Constant elasticity of variance model and analytical strategies for annuity contracts
• Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform
• An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts
• Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
• Optimal reinsurance-investment problem with dependent risks based on Legendre transform
• Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences
• Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns
• The \textit{CEV} model and its application in a study of optimal investment strategy
• Optimal investment for the defined-contribution pension with stochastic salary under a CEV model
• Legendre transform dual-asymptotic solution for optimal investment, consumption and life insurance strategy under the HLSV model
• Time-consistent strategies between two competitive DC pension plans with the return of premiums clauses and salary risk

This page was built for publication: Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q659085)