Optimal control problem for hybrid pension plans under longevity risk for alpha-maxmin expected utility minimization
Ya Chen, Wei Liu, Zhen Zhao
| Year of publication: |
2025
|
|---|---|
| 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
|
| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2024.102285 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015359797