Management of a pension fund under mortality and financial risks

DOI10.1016/J.INSMATHECO.2006.10.014zbMATH Open1119.91053OpenAlexW2040710781MaRDI QIDQ997092FDOQ997092

Authors: Donatien Hainaut, Pierre Devolder 

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

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Mathematics Subject Classification ID

Cites Work

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Cited In (14)

• Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
• Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios
• Risk management of financial crises: an optimal investment strategy with multivariate jump-diffusion models
• Title not available (Why is that?)
• Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk
• Quantifying mortality risk in small defined-benefit pension schemes
• The Management of Decumulation Risks in a Defined Contribution Pension Plan
• The role of longevity bonds in optimal portfolios
• A general optimization framework for the annuity contracts with multiscale stochastic volatility
• IMPLEMENTING INDIVIDUAL SAVINGS DECISIONS FOR RETIREMENT WITH BOUNDS ON WEALTH
• Optimal dynamic asset allocation of pension fund in mortality and salary risks framework
• Multi-period defined contribution pension funds investment management with regime-switching and mortality risk
• Longevity bond premiums: the extreme value approach and risk cubic pricing
• Managing contribution and capital market risk in a funded public defined benefit plan: impact of CVaR cost constraints

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