Optimal risk management in defined benefit stochastic pension funds

DOI10.1016/j.insmatheco.2004.03.002zbMath1188.91202OpenAlexW1995423233MaRDI QIDQ977156

Juan Pablo Rincón-Zapatero, Ricardo Josa-Fombellida

Publication date: 20 June 2010

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

Full work available at URL: http://hdl.handle.net/10016/5574

zbMATH Keywords

Asset allocationStochastic controlContribution rate riskDefined benefit pension fundSolvency risk

Mathematics Subject Classification ID

Related Items (35)

Impulse control of pension fund contributions, in a regime switching economy ⋮ Asset-liability management under the safety-first principle ⋮ Optimal investment strategies and intergenerational risk sharing for target benefit pension plans ⋮ Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings ⋮ Asset and liability management under a continuous-time mean-variance optimization framework ⋮ Funding and investment decisions in a stochastic defined benefit pension plan with regime switching ⋮ OPTIMAL TIME-CONSISTENT PORTFOLIO AND CONTRIBUTION SELECTION FOR DEFINED BENEFIT PENSION SCHEMES UNDER MEAN–VARIANCE CRITERION ⋮ Dynamic optimal adjustment policies of hybrid pension plans ⋮ Robust equilibrium strategies in a defined benefit pension plan game ⋮ Financial fairness and conditional indexation ⋮ Optimal pension decision under heterogeneous health statuses and bequest motives ⋮ Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes ⋮ Heterogeneity-adjusted management of pension funds using adaptive representative agents ⋮ THE ANALYTIC APPROACH FOR THE STOCHASTIC PROJECTION OF THE PUBLIC PENSION FUND ⋮ Mean-variance portfolio and contribution selection in stochastic pension funding ⋮ A defined benefit pension plan model with stochastic salary and heterogeneous discounting ⋮ A defined benefit pension plan game with Brownian and Poisson jumps uncertainty ⋮ Optimal assets allocation and benefit adjustment strategy with longevity risk for target benefit pension plans ⋮ Equilibrium strategies in a defined benefit pension plan game ⋮ Time consistent pension funding in a defined benefit pension plan with non-constant discounting ⋮ Optimal decision on dynamic insurance price and investment portfolio of an insurer ⋮ Optimal dynamic asset allocation strategy for ELA scheme of DC pension plan during the distribution phase ⋮ Mean-variance optimization problems for an accumulation phase in a defined benefit plan ⋮ De-risking defined benefit plans ⋮ Mean-variance investment and contribution decisions for defined benefit pension plans in a stochastic framework ⋮ Downside Risk Management of a Defined Benefit Plan Considering Longevity Basis Risk ⋮ Optimal investment decisions with a liability: the case of defined benefit pension plans ⋮ Stochastic pension fund control in the presence of Poisson jumps ⋮ Management of a pension fund under mortality and financial risks ⋮ Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance ⋮ Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates ⋮ Optimal Dynamic Control for the Defined Benefit Pension Plans with Stochastic Benefit Outgo ⋮ Optimal management of DC pension fund under the relative performance ratio and VaR constraint ⋮ Optimal contributions in a defined benefit pension scheme with stochastic new entrants ⋮ Optimal assets allocation and benefit outgo policies of DC pension plan with compulsory conversion claims

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