Optimal design of the guarantee for defined contribution funds
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Publication:953713
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Cites work
- Aggregation and Linearity in the Provision of Intertemporal Incentives
- An equilibrium characterization of the term structure
- Optimal investment strategies in a CIR framework
- Optimal investment strategies in the presence of a minimum guarantee.
- Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
- Optimization of consumption with labor income
Cited in
(40)- Multi-period defined contribution pension funds investment management with regime-switching and mortality risk
- Guarantee valuation in notional defined contribution pension systems
- Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
- An explicit option-based strategy that outperforms dollar cost averaging
- Optimal supervisory rules for pension funds under diverse pension security mechanisms
- Optimal dynamic asset allocation of pension fund in mortality and salary risks framework
- Equity-linked pension schemes with guarantees
- Fair demographic risk sharing in defined contribution pension systems
- Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
- Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee
- Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model
- Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model
- Optimal portfolios for DC pension plans under a CEV model
- Portfolio optimization for pension plans under hybrid stochastic and local volatility.
- Pension funds as institutions for intertemporal risk transfer
- Optimal pension fund management under risk and uncertainty: the case study of Poland
- A stochastic control problem with delay arising in a pension fund model
- Optimal management and inflation protection for defined contribution pension plans
- Management strategies for a defined contribution pension fund under the hybrid stochastic volatility model
- Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty
- scientific article; zbMATH DE number 2062320 (Why is no real title available?)
- Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching
- Communication and personal selection of pension saver's financial risk
- Robust time-consistent strategy for the defined contribution pension plan with a minimum guarantee under ambiguity
- Downside risk in multiperiod tracking error models
- Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
- Management of a pension fund under mortality and financial risks
- A general optimization framework for the annuity contracts with multiscale stochastic volatility
- Optimal investment strategies with a minimum performance constraint
- Time-consistent strategies between two competitive DC pension plans with the return of premiums clauses and salary risk
- Optimal management of DC pension fund under the relative performance ratio and VaR constraint
- An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts
- Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model
- Optimal investment strategy for the DC pension plan based on jump diffusion model and S-shaped utility
- Designing and pricing guarantee options in defined contribution pension plans
- Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk
- Stochastic optimal control of DC pension funds
- Pension funds with longevity risk: an optimal portfolio insurance approach
- Pension funds with a minimum guarantee: a stochastic control approach
- Non-parametric news impact curve: a variational approach
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