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

DOI10.1016/j.insmatheco.2017.11.004zbMath1398.91355OpenAlexW2773889661MaRDI QIDQ1697221

Gene C. Lai, Mei-Ling Tang, Ting-Pin Wu, Son-Nan Chen

Publication date: 15 February 2018

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.11.004

zbMATH Keywords

stochastic interest ratedefined contribution pension planasset allocationminimum guaranteeinflation-indexed bond

Mathematics Subject Classification ID

Related Items (6)

Optimal DC pension management under inflation risk with jump diffusion price index and cost of living process ⋮ Minimum probability function of crossing the upper regulatory threshold for asset-liability management ⋮ Robust time-consistent strategy for the defined contribution pension plan with a minimum guarantee under ambiguity ⋮ Hedging longevity risk in defined contribution pension schemes ⋮ Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk ⋮ CONTINUOUS-TIME MEAN–VARIANCE OPTIMIZATION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH REGIME-SWITCHING

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