Defined contribution pension planning with the return of premiums clauses and HARA preference in stochastic environments

DOI10.1007/s10255-023-1050-yzbMath1519.91209OpenAlexW4366402884MaRDI QIDQ6100430

Hao Chang, Xingjiang Chen

Publication date: 12 May 2023

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-023-1050-y

zbMATH Keywords

stochastic optimal controlstochastic interest ratedefined contribution pension planLegendre transform-dual theoryreturn of premiums clausesHARA preference

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Actuarial mathematics (91G05)

Cites Work

• Unnamed Item
• Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model
• Pension funds with a minimum guarantee: a stochastic control approach
• Optimal dynamic asset allocation of pension fund in mortality and salary risks framework
• Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model
• Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform
• An optimal portfolio model with stochastic volatility and stochastic interest rate
• An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts
• Pricing variance swaps under stochastic volatility and stochastic interest rate
• Optimal investment for a pension fund under inflation risk
• Optimal investment strategies in the presence of a minimum guarantee.
• A stability result for the HARA class with stochastic interest rates.
• Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
• Optimal portfolio and consumption rule with a CIR model under HARA utility
• Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause
• Portfolio selection with liability and affine interest rate in the HARA utility framework
• Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
• An investment and consumption problem with CIR interest rate and stochastic volatility
• Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework
• Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model
• Optimal investment for the defined-contribution pension with stochastic salary under a CEV model
• Optimal asset allocation for DC pension plans under inflation
• Optimal investment strategies for the HARA utility under the constant elasticity of variance model
• Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
• A Theory of the Term Structure of Interest Rates
• Optimal investment problem with stochastic interest rate and stochastic volatility: Maximizing a power utility
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Defined contribution pension planning with a stochastic interest rate and mean-reverting returns under the hyperbolic absolute risk aversion preference
• An equilibrium characterization of the term structure
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Optimal investment with minimum performance constraints

This page was built for publication: Defined contribution pension planning with the return of premiums clauses and HARA preference in stochastic environments