Mean-variance optimization problems for an accumulation phase in a defined benefit plan
From MaRDI portal
Publication:939338
DOI10.1016/j.insmatheco.2007.01.005zbMath1141.91501OpenAlexW2033512612MaRDI QIDQ939338
Russell Gerrard, Steven Haberman, Łukasz Delong
Publication date: 22 August 2008
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.01.005
Hamilton-Jacobi-Bellman equationFeynman-Kac representationLévy diffusion financial marketstochastic mortality intensity process
Related Items (22)
Multi-period defined contribution pension funds investment management with regime-switching and mortality risk ⋮ Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach ⋮ Optimal DC pension management under inflation risk with jump diffusion price index and cost of living process ⋮ OPTIMAL TIME-CONSISTENT PORTFOLIO AND CONTRIBUTION SELECTION FOR DEFINED BENEFIT PENSION SCHEMES UNDER MEAN–VARIANCE CRITERION ⋮ Mortality options: the point of view of an insurer ⋮ Longevity-linked assets and pre-retirement consumption/portfolio decisions ⋮ Heterogeneity-adjusted management of pension funds using adaptive representative agents ⋮ A defined benefit pension plan model with stochastic salary and heterogeneous discounting ⋮ Equilibrium strategies in a defined benefit pension plan game ⋮ An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process ⋮ A new defined benefit pension risk measurement methodology ⋮ De-risking defined benefit plans ⋮ Mean-variance investment and contribution decisions for defined benefit pension plans in a stochastic framework ⋮ Continuous time mean‐variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach ⋮ Mean-variance portfolio selection for a non-life insurance company ⋮ Downside Risk Management of a Defined Benefit Plan Considering Longevity Basis Risk ⋮ Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework ⋮ Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model ⋮ Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance ⋮ Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk ⋮ Optimal Defined Contribution Pension Management with Salary and Risky Assets Following Jump Diffusion Processes ⋮ CONTINUOUS-TIME MEAN–VARIANCE OPTIMIZATION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH REGIME-SWITCHING
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes
- Applied stochastic control of jump diffusions.
- Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
- Optimal risk management in defined benefit stochastic pension funds
- Stochastic pension fund control in the presence of Poisson jumps
- Mean-variance hedging in continuous time
- Mean-variance hedging for general claims
- Pension funding incorporating downside risks.
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- Dynamic approaches to pension funding
- Approximation pricing and the variance-optimal martingale measure
- Mean-variance portfolio selection for a non-life insurance company
- Optimal pension funding dynamics over infinite control horizon when stochastic rates of return are stationary
- Affine stochastic mortality
- The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case
- Martingales versus PDEs in finance: an equivalence result with examples
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
- Financial Modelling with Jump Processes
- Lévy Processes and Stochastic Calculus
- Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
- Contribution and solvency risk in a defined benefit pension scheme
This page was built for publication: Mean-variance optimization problems for an accumulation phase in a defined benefit plan
