Investing for Retirement
From MaRDI portal
Publication:5718087
DOI10.1080/10920277.2000.10595899zbMath1083.91517OpenAlexW1501577517MaRDI QIDQ5718087
Hans U. Gerber, Elias S. W. Shiu
Publication date: 13 January 2006
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2000.10595899
Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
Related Items
A stochastic flows approach for asset allocation with hidden economic environment ⋮ Entrance times of random walks: with applications to pension fund modeling ⋮ It's not now or never: implications of investment timing and risk aversion on climate adaptation to extreme events ⋮ A BSDE approach to risk-based asset allocation of pension funds with regime switching ⋮ Optimal insurance in a changing economy ⋮ Optimal Investment for an Insurer to Minimize Its Probability of Ruin ⋮ Bayesian Risk Measures for Derivatives via Random Esscher Transform ⋮ Asset allocation under threshold autoregressive models ⋮ Reactive investment strategies ⋮ Investing for retirement through a with-profits pension scheme: a client's perspective ⋮ On the uncertainty of VaR of individual risk ⋮ Immediate Annuity Pricing in the Presence of Unobserved Heterogeneity ⋮ Multiperiod Optimal Investment-Consumption Strategies with Mortality Risk and Environment Uncertainty
Cites Work
- On convex principles of premium calculation
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Risk-neutral valuation: Pricing and hedging of financial derivatives
- Products of trees for investment analysis
- Turnpike behavior of long-term investments
- A generalization of the mutual fund theorem
- How best to flip-flop if you must: Integer dynamic stochastic programming for either-or
- Asset allocation with time variation in expected returns
- Actuarial bridges to dynamic hedging and option pricing
- Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
- Dynamic Asset Allocation in a Mean-Variance Framework
- The return on investment from proportional portfolio strategies
- A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
- Arbitrage Theory in Continuous Time
- Optimal Portfolio Selection with Transaction Costs
- Bonus-Malus Systems
- Utility Functions
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item