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Optimal pension management under stochastic interest rates, wages, and inflation

Battocchio, Paolo (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001719335

Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates

Josa-Fombellida, Ricardo (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003774311

Strategic interest rate hedges or how derivatives can help solve the pension fund crisis part 2

Engel, Janwillem P. W. (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003262279

Defined contribution pension planning with a stochastic interest rate and mean-reverting returns under the hyperbolic absolute risk aversion preference

Chang, Hao; Wang, Chunfeng; Fang, Zhenming; Ma, Dan - In: IMA journal of management mathematics 31 (2020) 2, pp. 167-189

Persistent link: https://www.econbiz.de/10012181853

Target benefit pension with longevity risk and stochastic interest rate valuation

Tao, Cheng; Rong, Ximin; Zhao, Hui - In: Insurance : mathematics and economics 120 (2025), pp. 285-301

Persistent link: https://www.econbiz.de/10015431899

The investment management for a downside-protected equity-linked annuity under interest rate risk

Han, Nan-Wei; Hung, Mao-Wei - In: Finance research letters 13 (2015), pp. 113-124

Persistent link: https://www.econbiz.de/10011552419

Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee

Tang, Mei-Ling; Chen, Son-nan; Lai, Gene C.; Wu, Ting-Pin - In: Insurance 78 (2018), pp. 87-104

Persistent link: https://www.econbiz.de/10011825223

Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility

Wang, Pei; Li, Zhongfei - In: Insurance 80 (2018), pp. 67-83

Persistent link: https://www.econbiz.de/10011872914

Optimal Portfolio Selection for a Defined Contribution Pension Fund with Return Clauses of Premium with Predetermined Interest Rate under Mean-variance Utility

Akpanibah, Edikan; Osu, Bright O. - 2021

This paper investigates the optimal investment strategies for a defined contribution pension fund with return clauses of premiums with interest under the mean-variance criterion. Using the actuarial symbol, we formalize the problem as a continuous time mean-variance stochastic optimal control....

Persistent link: https://www.econbiz.de/10013231620

Optimal investment strategy for DC pension schemes under partial information

Ban, Manli; He, Hua; Liang, Xiaoqing - In: Risks : open access journal 10 (2022) 11, pp. 1-20

We consider a defined-contribution (DC)-pension-fund-management problem under partial information. The fund manager is allowed to invest the wealth from the fund account into a financial market consisting of a risk-free account, a stock and a rolling bond. The aim of the fund manager is to...

Persistent link: https://www.econbiz.de/10014226044