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 |
| 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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