Funding and investment decisions in a stochastic defined benefit pension plan with regime switching
From MaRDI portal
Publication:2393667
DOI10.1007/s10986-013-9201-0zbMath1271.90102OpenAlexW1992060493MaRDI QIDQ2393667
Publication date: 8 August 2013
Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10986-013-9201-0
Related Items (2)
A defined benefit pension plan model with stochastic salary and heterogeneous discounting ⋮ Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Portfolio risk minimization and differential games
- Stochastic optimal control of DC pension funds
- Pension fund investments and the valuation of liabilities under conditional indexation
- Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
- Optimal risk management in defined benefit stochastic pension funds
- Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes
- Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings
- Controlled Markov processes and viscosity solutions
- Optimal investment decisions with a liability: the case of defined benefit pension plans
- Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
- EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
- Financial Modelling with Jump Processes
- Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
- Option pricing when underlying stock returns are discontinuous
- Applied stochastic control of jump diffusions
- Stochastic differential equations. An introduction with applications.
This page was built for publication: Funding and investment decisions in a stochastic defined benefit pension plan with regime switching
