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

DOI10.1016/j.insmatheco.2017.09.022zbMath1397.91282OpenAlexW2763093047MaRDI QIDQ1681102

Thiago B. Duarte, Davi Michel Valladão, Alvaro Veiga

Publication date: 23 November 2017

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.09.022

zbMATH Keywords

stochastic programmingoptimal allocationALMinsolvency risksupplementary pension

Mathematics Subject Classification ID

Related Items (6)

Envelope Theorems for Multistage Linear Stochastic Optimization ⋮ Lifetime consumption and investment with housing, deferred annuities and home equity release ⋮ Portfolio optimization with asset-liability ratio regulation constraints ⋮ Can asset allocation limits determine portfolio risk-return profiles in DC pension schemes? ⋮ Optimal chance-constrained pension fund management through dynamic stochastic control ⋮ Optimal investment for a retirement plan with deferred annuities

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