Management of a pension fund under mortality and financial risks

DOI10.1016/J.INSMATHECO.2006.10.014MaRDI QIDQ997092zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

Recommendations

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• Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases
• Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
• Dynamic hedging of the mortality risk via a continuous control strategy of the portfolio of investments of a pension fund
• Utility maximization and risk minimization in life and pension insurance

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• Optimal risk management in defined benefit stochastic pension funds
• Optimum consumption and portfolio rules in a continuous-time model
• Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
• Stochastic optimal control of annuity contracts.

Cited in

(14)

• Multi-period defined contribution pension funds investment management with regime-switching and mortality risk
• scientific article; zbMATH DE number 2101196 (Why is no real title available?)
• Optimal dynamic asset allocation of pension fund in mortality and salary risks framework
• The role of longevity bonds in optimal portfolios
• 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
• 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
• Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk
• Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios
• Quantifying mortality risk in small defined-benefit pension schemes
• A general optimization framework for the annuity contracts with multiscale stochastic volatility
• Risk management of financial crises: an optimal investment strategy with multivariate jump-diffusion models
• The Management of Decumulation Risks in a Defined Contribution Pension Plan

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