Optimal asset allocation for participating contracts with mortality risk under minimum guarantee

DOI10.1080/03610926.2019.1589518OpenAlexW2979567681WikidataQ128176578 ScholiaQ128176578MaRDI QIDQ5077434

Sang Wu, Wenxin Lv, Yinghui Dong, Guo-jing Wang

Publication date: 18 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1589518

zbMATH Keywords

portfolio insuranceconcavificationparticipating contractLagrange dual method

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (3)

Portfolio optimization with a guaranteed minimum maturity benefit and risk-adjusted fees ⋮ Hedging longevity risk in defined contribution pension schemes ⋮ Parameter estimation for Vasicek model driven by a general Gaussian noise

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