Optimal investment strategies and intergenerational risk sharing for target benefit pension plans

DOI10.1016/j.insmatheco.2018.02.003zbMath1402.91218OpenAlexW2794383654MaRDI QIDQ1641132

Barbara Sanders, Yi Lu, Suxin Wang

Publication date: 15 June 2018

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.02.003

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic optimal controloptimal investmentintergenerational risk sharingtarget benefit plan

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (15)

Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility ⋮ Optimal DC pension management under inflation risk with jump diffusion price index and cost of living process ⋮ Robust optimal investment and benefit payment adjustment strategy for target benefit pension plans under default risk ⋮ Dynamic optimal adjustment policies of hybrid pension plans ⋮ Irreversible reinsurance: a singular control approach ⋮ Target benefit pension plan with longevity risk and intergenerational equity ⋮ Optimal assets allocation and benefit adjustment strategy with longevity risk for target benefit pension plans ⋮ Levelling the playing field: a VIX-linked structure for funded pension schemes ⋮ Optimal DB-PAYGO pension management towards a habitual contribution rate ⋮ Unnamed Item ⋮ Optimal investment and benefit payment strategy under loss aversion for target benefit pension plans ⋮ Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan ⋮ Optimal contribution rate of PAYGO pension ⋮ Structure of intergenerational risk-sharing plans: optimality and fairness ⋮ FAIR TRANSITION FROM DEFINED BENEFIT TO TARGET BENEFIT

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