Optimal dynamic asset allocation of pension fund in mortality and salary risks framework
type: Item
instance of: scholarly article
title: Optimal dynamic asset allocation of pension fund in mortality and salary risks framework
zbMATH Open document ID: 1348.91167
author: Zongxia Liang
author: Ming Ma
published in: Insurance Mathematics \& Economics
publication date: 2015-09-14T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 6481768
zbMATH Keywords: assets liabilities management (ALM)
zbMATH Keywords: optimal dynamic asset allocation
zbMATH Keywords: mortality risk
zbMATH Keywords: salary risk
zbMATH Keywords: incomplete market
zbMATH Keywords: stochastic dynamic programming
zbMATH Keywords: martingale method
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2015.05.008
OpenAlex ID: W841952077
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DOI: 10.1016/J.INSMATHECO.2015.05.008
description: scientific article; zbMATH DE number 6481768