Alpha-robust mean-variance investment strategy for DC pension plan with uncertainty about jump-diffusion risk

DOI10.1051/ro/2020132zbMath1471.91469OpenAlexW3099900501WikidataQ110648548 ScholiaQ110648548MaRDI QIDQ5002419

Mengcong Hu, Danping Li, Jun-na Bi

Publication date: 27 July 2021

Published in: RAIRO - Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/ro/2020132

zbMATH Keywords

time-consistent equilibrium strategyreturn of premiums clauses\( \alpha \)-maxmin mean-variance criterionrobust DC pension investment problem

Mathematics Subject Classification ID

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

Related Items

Robust equilibrium strategy for DC pension plan with the return of premiums clauses in a jump-diffusion model ⋮ Manage pension deficit with heterogeneous insurance ⋮ Robust equilibrium strategies in a defined benefit pension plan game ⋮ Robust time-consistent strategy for the defined contribution pension plan with a minimum guarantee under ambiguity ⋮ A defined benefit pension plan game with Brownian and Poisson jumps uncertainty ⋮ Unnamed Item ⋮ Unnamed Item