Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan
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Publication:2010894
DOI10.1016/j.insmatheco.2019.09.005zbMath1427.91245OpenAlexW2976244068WikidataQ127217043 ScholiaQ127217043MaRDI QIDQ2010894
Publication date: 28 November 2019
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.09.005
Hamilton-Jacobi-Bellman equationstochastic optimal controlloss functionoptimal investmentintergenerational risk sharinghybrid pension plan
Related Items (9)
Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility ⋮ Manage pension deficit with heterogeneous insurance ⋮ Robust optimal investment and benefit payment adjustment strategy for target benefit pension plans under default risk ⋮ Dynamic optimal adjustment policies of hybrid pension plans ⋮ Intergenerational sharing of unhedgeable inflation risk ⋮ 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 ⋮ Unnamed Item ⋮ Structure of intergenerational risk-sharing plans: optimality and fairness
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