Pension funding problem with regime‐switching geometric Brownian motion assets and liabilities

DOI10.1002/asmb.776zbMath1224.91050OpenAlexW4238674261MaRDI QIDQ5391298

Hailiang Yang, Ping Chen

Publication date: 6 April 2011

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/128527

zbMATH Keywords

regime switchingoptimal dividend problemgeometric Brownian motion assets and liabilitiespension funding problem

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (5)

ON THE DISTRIBUTION OF THE EXCEDENTS OF FUNDS WITH ASSETS AND LIABILITIES IN PRESENCE OF SOLVENCY AND RECOVERY REQUIREMENTS ⋮ On the surplus management of funds with assets and liabilities in presence of solvency requirements ⋮ On a reduced form credit risk model with common shock and regime switching ⋮ A reduced-form model with default intensities containing contagion and regime-switching Vasicek processes ⋮ Equilibrium investment strategy for DC pension plan with inflation and stochastic income under Heston's SV model

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