Pension funding incorporating downside risks.

DOI10.1016/S0167-6687(02)00211-1zbMath1074.91547OpenAlexW2058610215MaRDI QIDQ1413391

D. Massart

Publication date: 16 November 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(02)00211-1

zbMATH Keywords

Optimal pension fundingOver-contributingUnder-funding

Mathematics Subject Classification ID

Related Items (24)

Optimal investment strategies and intergenerational risk sharing for target benefit pension plans ⋮ Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings ⋮ Dynamic optimal adjustment policies of hybrid pension plans ⋮ A Stochastic Control Approach to Defined Contribution Plan Decumulation: “The Nastiest, Hardest Problem in Finance” ⋮ Optimal pension decision under heterogeneous health statuses and bequest motives ⋮ Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes ⋮ A defined benefit pension plan model with stochastic salary and heterogeneous discounting ⋮ A defined benefit pension plan game with Brownian and Poisson jumps uncertainty ⋮ Equilibrium strategies in a defined benefit pension plan game ⋮ Optimal DB-PAYGO pension management towards a habitual contribution rate ⋮ Time consistent pension funding in a defined benefit pension plan with non-constant discounting ⋮ Managing contribution and capital market risk in a funded public defined benefit plan: impact of CVaR cost constraints ⋮ Optimal premium policy of an insurance firm: full and partial information ⋮ Mean-variance optimization problems for an accumulation phase in a defined benefit plan ⋮ De-risking defined benefit plans ⋮ Mean-variance investment and contribution decisions for defined benefit pension plans in a stochastic framework ⋮ Downside Risk Management of a Defined Benefit Plan Considering Longevity Basis Risk ⋮ Optimal risk management in defined benefit stochastic pension funds ⋮ Constrained stochastic LQ optimal control problem with random coefficients on infinite time horizon ⋮ Stochastic pension fund control in the presence of Poisson jumps ⋮ Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance ⋮ Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates ⋮ Optimal Dynamic Control for the Defined Benefit Pension Plans with Stochastic Benefit Outgo ⋮ Optimal assets allocation and benefit outgo policies of DC pension plan with compulsory conversion claims

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