Stochastic pension fund control in the presence of Poisson jumps
type: Item
instance of: scholarly article
title: Stochastic pension fund control in the presence of Poisson jumps
zbMATH Open document ID: 1120.60063
author: Bernard Ngwira
author: Russell Gerrard
published in: Insurance Mathematics \& Economics
publication date: 2007-09-03T00:00:00Z
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 5186581
zbMATH Keywords: defined-benefit pension funds
zbMATH Keywords: jump-diffusion
zbMATH Keywords: optimal asset allocation
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2006.05.002
OpenAlex ID: W2018959111
cites work: Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
cites work: Pension funding incorporating downside risks.
cites work: Minimization of risks in pension funding by means of contributions and portfolio selection.
cites work: Optimal risk management in defined benefit stochastic pension funds
cites work: Optimum consumption and portfolio rules in a continuous-time model
cites work: Efficient Gain and Loss Amortization and Optimal Funding in Pension Plans
DOI: 10.1016/J.INSMATHECO.2006.05.002
description: scientific article; zbMATH DE number 5186581