Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty
From MaRDI portal
Publication:2076903
DOI10.1016/j.ejor.2021.08.038zbMath1490.91181OpenAlexW3196511706MaRDI QIDQ2076903
Krzysztof Kołodziejczyk, Gerhard-Wilhelm Weber, Athanasios N. Yannacopoulos, L. Dopierala, M. Szczepanski, Ioannis D. Baltas
Publication date: 22 February 2022
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2021.08.038
Related Items
Robust policy selection and harvest risk quantification for natural resources management under model uncertainty, Stochastic streamflow and dissolved silica dynamics with application to the worst-case long-run evaluation of water environment, Robust time-consistent strategy for the defined contribution pension plan with a minimum guarantee under ambiguity, Peer group situations and games with fuzzy uncertainty, Portfolio choice with illiquid asset for a loss-averse pension fund investor, Robust optimal asset-liability management with mispricing and stochastic factor market dynamics, Optimal investment in a general stochastic factor framework under model uncertainty, A defined benefit pension plan game with Brownian and Poisson jumps uncertainty, Robust Control Problems of BSDEs Coupled with Value Functions, Mathematical encouragement of companies to cooperate by using cooperative games with fuzzy approach, Unnamed Item, Optimal management of DC pension fund under the relative performance ratio and VaR constraint
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Uncertainty and inside information
- Pension funds with a minimum guarantee: a stochastic control approach
- Robust control and hot spots in spatiotemporal economic systems
- Martingale methods in financial modelling.
- Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities
- Worst-case scenario portfolio optimization: a new stochastic control approach
- Affine processes for dynamic mortality and actuarial valuations
- Optimal design of the guarantee for defined contribution funds
- Optimal investment for a pension fund under inflation risk
- Continuous-time stochastic control and optimization with financial applications
- Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
- Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
- Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
- Equilibrium strategies in a defined benefit pension plan game
- Robust portfolio decisions for financial institutions
- Chance-constrained optimization for pension fund portfolios in the presence of default risk
- Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes
- Robust consumption-investment problems with random market coefficients
- Pricing and hedging in incomplete markets with model uncertainty
- Robust control of parabolic stochastic partial differential equations under model uncertainty
- Optimal management and inflation protection for defined contribution pension plans
- Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases
- Worst-case scenario investment for insurers
- Income drawdown option with minimum guarantee
- On efficiency of mean–variance based portfolio selection in defined contribution pension schemes
- Stochastic Optimal Control in Infinite Dimension
- User’s guide to viscosity solutions of second order partial differential equations
- Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
- The Management of Decumulation Risks in a Defined Contribution Pension Plan
- Optimal Portfolio Choice with Path Dependent Labor Income: the Infinite Horizon Case
- Variational Methods in Nonlinear Analysis
- Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund