Stochastic pension fund control in the presence of Poisson jumps
DOI10.1016/J.INSMATHECO.2006.05.002zbMATH Open1120.60063OpenAlexW2018959111MaRDI QIDQ995505FDOQ995505
Authors: Bernard Ngwira, Russell Gerrard 
Publication date: 3 September 2007
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.05.002
Recommendations
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Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
- Optimal risk management in defined benefit stochastic pension funds
- Pension funding incorporating downside risks.
- Efficient Gain and Loss Amortization and Optimal Funding in Pension Plans
- Minimization of risks in pension funding by means of contributions and portfolio selection.
Cited In (24)
- Downside risk management of a defined benefit plan considering longevity basis risk
- Mean-variance investment and contribution decisions for defined benefit pension plans in a stochastic framework
- Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
- Optimal control of multifactor uncertain system with jumps
- Linear-quadratic mean-field game for stochastic large-population systems with jump diffusion
- Impulse control of pension fund contributions, in a regime switching economy
- A defined benefit pension plan game with Brownian and Poisson jumps uncertainty
- Optimal investment strategies and intergenerational risk sharing for target benefit pension plans
- Optimal DB-PAYGO pension management towards a habitual contribution rate
- Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
- Optimal DC pension management under inflation risk with jump diffusion price index and cost of living process
- Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes
- First passage time for multivariate jump-diffusion processes in finance and other areas of applications
- Intertemporal surplus management with jump risks
- Optimal pension fund management in a jump-diffusion environment: theoretical and empirical studies
- Mean-variance optimization problems for an accumulation phase in a defined benefit plan
- Optimal dynamic asset allocation strategy for ELA scheme of DC pension plan during the distribution phase
- Optimal Control of DC Pension Plan Management under Two Incentive Schemes
- Managing contribution and capital market risk in a funded public defined benefit plan: impact of CVaR cost constraints
- Optimal time-consistent portfolio and contribution selection for defined benefit pension schemes under mean-variance criterion
- Optimal pension decision under heterogeneous health statuses and bequest motives
- Optimal premium policy of an insurance firm: full and partial information
- Optimal assets allocation and benefit outgo policies of DC pension plan with compulsory conversion claims
- Optimal control of uncertain systems with jump under optimistic value criterion
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