Optimal Defined Contribution Pension Management with Salary and Risky Assets Following Jump Diffusion Processes

DOI10.4208/eajam.301218.170419zbMath1466.91275OpenAlexW3000115226MaRDI QIDQ4986583

Xiaoyi Zhang, Jun-Yi Guo

Publication date: 27 April 2021

Published in: East Asian Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/eajam.301218.170419

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic optimal controlcompound Poisson processdefined contribution pension plandynamic programming approach

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Actuarial mathematics (91G05)

Related Items

A defined benefit pension plan game with Brownian and Poisson jumps uncertainty

Cites Work

• Unnamed Item
• Mean-variance optimization problems for an accumulation phase in a defined benefit plan
• Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance
• Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes
• Pricing pension plans under jump-diffusion models for the salary
• Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
• Towards a General Theory of Good-Deal Bounds*