Cyclical risk exposure of pension funds: a theoretical framework

DOI10.1016/J.INSMATHECO.2005.04.001zbMATH Open1242.91222OpenAlexW2063534252MaRDI QIDQ882873FDOQ882873

Authors: Francesco Menoncin 

Publication date: 24 May 2007

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.04.001

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zbMATH Keywords

stochastic dynamic programmingPAYGPension funds

Mathematics Subject Classification ID

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

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Title not available (Why is that?)
• Optimal pension management in a stochastic framework.
• Optimal portfolio and background risk: an exact and an approximated solution.
• Optimal asset allocation in life annuities: a note.
• Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase
• Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
• A solution approach to valuation with unhedgeable risks
• Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases
• Econometric analysis of a continuous time multi-factor generalized Vasicek term structure model: International evidence
• Minimization of risks in pension funding by means of contributions and portfolio selection.

Cited In (4)

• Fair demographic risk sharing in defined contribution pension systems
• On the cyclical allocation of risk
• Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
• Can asset allocation limits determine portfolio risk-return profiles in DC pension schemes?

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