Income drawdown option with minimum guarantee

DOI10.1016/j.ejor.2013.10.026zbMath1304.91187OpenAlexW2141820455MaRDI QIDQ2514762

Elena Vigna, Fausto Gozzi, Marina Di Giacinto, Salvatore Federico

Publication date: 3 February 2015

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://www.carloalberto.org/wp-content/uploads/2018/11/no.272.pdf

zbMATH Keywords

Hamilton-Jacobi-Bellman equationdynamic programmingstochastic optimal controlpension funddecumulation phaseconstrained portfolio

Mathematics Subject Classification ID

Related Items (16)

Fourier based methods for the management of complex life insurance products ⋮ Robust time-consistent strategy for the defined contribution pension plan with a minimum guarantee under ambiguity ⋮ Optimal consumption and portfolio selection for retirees with the guarantee of minimum welfare ⋮ Portfolio performance under benchmarking relative loss and portfolio insurance: From omega ratio to loss aversion ⋮ Multi-period portfolio optimization in a defined contribution pension plan during the decumulation phase ⋮ Optimal investment-consumption problem: post-retirement with minimum guarantee ⋮ A consumption-investment problem with constraints on minimum and maximum consumption rates ⋮ Multi-period optimal investment choice post-retirement with inter-temporal restrictions in a defined contribution pension plan ⋮ Equilibrium investment strategy for DC pension plan with inflation and stochastic income under Heston's SV model ⋮ Optimal investment strategy post retirement without ruin possibility: a numerical algorithm ⋮ Variable annuities in a Lévy-based hybrid model with surrender risk ⋮ Management strategies for a defined contribution pension fund under the hybrid stochastic volatility model ⋮ Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty ⋮ Optimal Tracking Portfolio with a Ratcheting Capital Benchmark ⋮ Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation ⋮ Optimal annuity portfolio under inflation risk

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