Management of a pension fund under mortality and financial risks

DOI10.1016/J.INSMATHECO.2006.10.014zbMath1119.91053OpenAlexW2040710781MaRDI QIDQ997092

Pierre Devolder, Donatien Hainaut

Publication date: 19 July 2007

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.10.014

Mathematics Subject Classification ID

Related Items (11)

Multi-period defined contribution pension funds investment management with regime-switching and mortality risk ⋮ RISK MANAGEMENT OF FINANCIAL CRISES: AN OPTIMAL INVESTMENT STRATEGY WITH MULTIVARIATE JUMP-DIFFUSION MODELS ⋮ Managing contribution and capital market risk in a funded public defined benefit plan: impact of CVaR cost constraints ⋮ Longevity bond premiums: the extreme value approach and risk cubic pricing ⋮ Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios ⋮ The role of longevity bonds in optimal portfolios ⋮ Optimal dynamic asset allocation of pension fund in mortality and salary risks framework ⋮ IMPLEMENTING INDIVIDUAL SAVINGS DECISIONS FOR RETIREMENT WITH BOUNDS ON WEALTH ⋮ Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework ⋮ A general optimization framework for the annuity contracts with multiscale stochastic volatility ⋮ Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk

Cites Work

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