Stochastic pension fund control in the presence of Poisson jumps
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Cites work
- Efficient Gain and Loss Amortization and Optimal Funding in Pension Plans
- Minimization of risks in pension funding by means of contributions and portfolio selection.
- Optimal risk management in defined benefit stochastic pension funds
- Optimum consumption and portfolio rules in a continuous-time model
- Pension funding incorporating downside risks.
- Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
Cited in
(24)- Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
- Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
- Mean-variance optimization problems for an accumulation phase in a defined benefit plan
- Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes
- Managing contribution and capital market risk in a funded public defined benefit plan: impact of CVaR cost constraints
- Optimal control of multifactor uncertain system with jumps
- First passage time for multivariate jump-diffusion processes in finance and other areas of applications
- Optimal DC pension management under inflation risk with jump diffusion price index and cost of living process
- Optimal Control of DC Pension Plan Management under Two Incentive Schemes
- Intertemporal surplus management with jump risks
- Downside risk management of a defined benefit plan considering longevity basis risk
- Optimal control of uncertain systems with jump under optimistic value criterion
- Optimal dynamic asset allocation strategy for ELA scheme of DC pension plan during the distribution phase
- Optimal pension fund management in a jump-diffusion environment: theoretical and empirical studies
- Linear-quadratic mean-field game for stochastic large-population systems with jump diffusion
- Optimal premium policy of an insurance firm: full and partial information
- Optimal DB-PAYGO pension management towards a habitual contribution rate
- Optimal time-consistent portfolio and contribution selection for defined benefit pension schemes under mean-variance criterion
- A defined benefit pension plan game with Brownian and Poisson jumps uncertainty
- Optimal investment strategies and intergenerational risk sharing for target benefit pension plans
- Impulse control of pension fund contributions, in a regime switching economy
- Optimal pension decision under heterogeneous health statuses and bequest motives
- Mean-variance investment and contribution decisions for defined benefit pension plans in a stochastic framework
- Optimal assets allocation and benefit outgo policies of DC pension plan with compulsory conversion claims
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