Optimal control problem for hybrid pension plans under longevity risk for alpha-maxmin expected utility minimization
Year of publication: |
2025
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Authors: | Chen, Ya ; Liu, Wei ; Zhao, Zhen |
Published in: |
The North American journal of economics and finance : a journal of theory and practice. - Amsterdam [u.a.] : Elsevier Science, ISSN 1062-9408, ZDB-ID 2023759-5. - Vol. 75.2025, 1, Art.-No. 102285, p. 1-18
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Subject: | Default risk | Hybrid pension plans | Longevity risk | α-robust | Sterblichkeit | Mortality | Betriebliche Altersversorgung | Occupational pension plan | Risikomodell | Risk model | Pensionskasse | Pension fund | Altersvorsorge | Retirement provision | Portfolio-Management | Portfolio selection | Risiko | Risk | Erwartungsnutzen | Expected utility | Risikomanagement | Risk management | Kontrolltheorie | Control theory | Kreditrisiko | Credit risk |
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