Optimal management of DC pension plan in stochastic interest rate and stochastic volatility framework
Guohui Guan; Zongxia Liang
| Year of publication: |
2014
|
|---|---|
| Authors: | Guan, Guohui ; Liang, Zongxia |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 57.2014, p. 58-66
|
| Subject: | Defined contribution pension plan | CRRA utility | Stochastic dynamic programming | Stochastic interest rate | Stochastic volatility | Stochastic contribution rate | Minimum guarantee | Stochastischer Prozess | Stochastic process | Zins | Interest rate | Volatilität | Volatility | Pensionskasse | Pension fund | Dynamische Optimierung | Dynamic programming | Private Altersvorsorge | Private retirement provision | Optionspreistheorie | Option pricing theory | Betriebliche Altersversorgung | Occupational pension plan |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010402734