Robust optimal investment and benefit payment adjustment strategy for target benefit pension plans under default risk
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Publication:2656079
DOI10.1016/j.cam.2021.113382zbMath1459.91164OpenAlexW3124805845MaRDI QIDQ2656079
Xi-Min Rong, Peiqi Wang, Hui Zhao, Suxin Wang
Publication date: 10 March 2021
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2021.113382
Derivative securities (option pricing, hedging, etc.) (91G20) Existence theories for optimal control problems involving ordinary differential equations (49J15) Actuarial mathematics (91G05)
Related Items (3)
Manage pension deficit with heterogeneous insurance ⋮ Optimal assets allocation and benefit adjustment strategy with longevity risk for target benefit pension plans ⋮ Unnamed Item
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- Unnamed Item
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