Stochastic pension fund control in the presence of Poisson jumps
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Publication:995505
DOI10.1016/j.insmatheco.2006.05.002zbMath1120.60063OpenAlexW2018959111MaRDI QIDQ995505
Russell Gerrard, Bernard Ngwira
Publication date: 3 September 2007
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.05.002
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Optimal risk management in defined benefit stochastic pension funds
- Minimization of risks in pension funding by means of contributions and portfolio selection.
- Pension funding incorporating downside risks.
- Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
- Efficient Gain and Loss Amortization and Optimal Funding in Pension Plans
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