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Max-min optimization problem for variable annuities pricing

Blanchet-Scalliet, Christophette; Chevalier, Etienne; … - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-35

Persistent link: https://www.econbiz.de/10011419373

Pension funds with longevity risk : an optimal portfolio insurance approach

Di Giacinto, Marina; Mancinelli, Daniele; Marino, Mario; … - 2024

Persistent link: https://www.econbiz.de/10015357881

Mean-variance portfolio optimization problem with fixed salary and inflation protection for a defined contribution pension scheme

Nkeki, Charles I.; Nwozo, Chukwuma R. - In: Journal of statistical and econometric methods 2 (2013) 2, pp. 157-173

Persistent link: https://www.econbiz.de/10009769892

Optimal annuity portfolio under inflation risk

Konicz, Agnieszka Karolina; Pisinger, David; … - In: Computational Management Science : CMS 12 (2015) 3, pp. 461-488

Persistent link: https://www.econbiz.de/10011285966

Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework

Menoncin, Francesco; Vigna, Elena - In: Insurance / Mathematics & economics 76 (2017), pp. 172-184

Persistent link: https://www.econbiz.de/10011774817

Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints

Duarte, Thiago B.; Valladão, Davi M.; Veiga, Alvaro - In: Insurance / Mathematics & economics 77 (2017), pp. 177-188

Persistent link: https://www.econbiz.de/10011783945

Heterogeneity in optimal investment and drawdown strategies in retirement

Butt, Adam; Khemka, Gaurav; Warren, Geoff - In: Pacific-Basin finance journal 74 (2022), pp. 1-20

Persistent link: https://www.econbiz.de/10013389436

Database Structure for a Multi Stage Stochastic Optimization Based Decision Support System for Asset – Liability Management of a Life Insurance Company

Rao, Harish - 2014

We introduce astochastic optimization based decision support system (DSS) for asset-liability management of a life insurance firm using a multi-stage, stochastic optimization model. The DSS is based on a multi-stage stochastic linear program (SLP) with recourse for strategic planning. The model...

Persistent link: https://www.econbiz.de/10013049298

Computational framework for longevity risk management

D'Amato, Valeria; Haberman, Steven; Piscopo, Gabriella; … - In: Computational Management Science : CMS 11 (2014) 1/2, pp. 111-137

Persistent link: https://www.econbiz.de/10010251207

Database structure for a multi stage stochastic optimization based decision support system for asset : liability management of a life insurance company

Rao, Harish V.; Dutta, Goutam; Basu, Sankarshan - 2014

Persistent link: https://www.econbiz.de/10010370283