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

DOI10.1016/j.insmatheco.2009.02.006zbMath1231.91402OpenAlexW2086658597MaRDI QIDQ659085

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

zbMATH Keywords

stochastic optimal control Legendre transform CEV model annuity defined contribution pension plan

Mathematics Subject Classification ID

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

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