Retirement planning in individual asset-liability management

DOI10.1093/imaman/dps019zbMath1250.91056OpenAlexW2054634042MaRDI QIDQ3165705

Giorgio Consigli, Vittorio Moriggia, Davide Musitelli, Gaetano Iaquinta, Massimo di Tria

Publication date: 29 October 2012

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dps019

zbMATH Keywords

multistage stochastic programmingasset-liability managementindividual retirement planningprivate pension plansvariable life annuities

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Stochastic programming (90C15)

Related Items (10)

Lifetime consumption and investment with housing, deferred annuities and home equity release ⋮ Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints ⋮ Large-scale financial planning via a partially observable stochastic dual dynamic programming framework ⋮ Individual optimal pension allocation under stochastic dominance constraints ⋮ Pension fund management with investment certificates and stochastic dominance ⋮ Optimal investment for a retirement plan with deferred annuities allowing for inflation and labour income risk ⋮ Optimal investment for a retirement plan with deferred annuities ⋮ A combined stochastic programming and optimal control approach to personal finance and pensions ⋮ Personalized goal-based investing via multi-stage stochastic goal programming ⋮ Optimal retirement planning with a focus on single and joint life annuities

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