Optimal assets allocation and benefit adjustment strategy with longevity risk for target benefit pension plans

DOI10.3934/jimo.2022117OpenAlexW4285821843MaRDI QIDQ2691364

Zilan Liu, Lei He, Huanying Zhang

Publication date: 29 March 2023

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2022117

zbMATH Keywords

stochastic optimal controllongevity riskoptimal investmenttarget benefit pension plan

Mathematics Subject Classification ID

Utility theory (91B16) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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