Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause

DOI10.1016/j.insmatheco.2018.05.005zbMath1416.91159OpenAlexW2807750174MaRDI QIDQ1667414

Haixiang Yao, Zhong-Fei Li, Li-Hua Bian

Publication date: 28 August 2018

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.05.005

zbMATH Keywords

regime switchingequilibrium strategypre-commitment strategyDC pension planreturn of premiums clause

Mathematics Subject Classification ID

Related Items (11)

Robust equilibrium strategy for DC pension plan with the return of premiums clauses in a jump-diffusion model ⋮ Robust optimal investment strategy of DC pension plans with stochastic salary and a return of premiums clause ⋮ Robust optimal investment and benefit payment adjustment strategy for target benefit pension plans under default risk ⋮ Time-consistent investment strategies for a DC pension member with stochastic interest rate and stochastic income ⋮ Defined contribution pension planning with the return of premiums clauses and HARA preference in stochastic environments ⋮ Multi-period Telser's safety-first portfolio selection problem in a defined contribution pension plan ⋮ Optimal portfolios for the DC pension fund with mispricing under the HARA utility framework ⋮ Equilibrium investment strategy for multi-period DC pension funds with stochastic interest rate and regime switching ⋮ Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate ⋮ Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model ⋮ CONTINUOUS-TIME MEAN–VARIANCE OPTIMIZATION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH REGIME-SWITCHING

Cites Work

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