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Can asset allocation limits determine portfolio risk-return profiles in DC pension schemes?
Gutierrez, Tomás; Pagnoncelli, Bernardo; Valladão, Davi; … - In: Insurance / Mathematics & economics 86 (2019), pp. 134-144
Persistent link: https://www.econbiz.de/10012058848
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Optimal investment strategies and intergenerational risk sharing for target benefit pension plans
Wang, Suxin; Lu, Yi; Sanders, Barbara - In: Insurance / Mathematics & economics 80 (2018), pp. 1-14
Persistent link: https://www.econbiz.de/10011872903
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Managing reputational risk in the decumulation phase of a pension fund
Boado-Penas, M. Carmen; Brinker, Leonie V.; Eisenberg, Julia - In: Insurance / Mathematics & economics 109 (2023), pp. 52-68
Persistent link: https://www.econbiz.de/10014282469
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A new defined benefit pension risk measurement methodology
Ai, Jing; Brockett, Patrick L.; Jacobson, Allen F. - In: Insurance / Mathematics & economics 63 (2015), pp. 40-51
Persistent link: https://www.econbiz.de/10011349856
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Risk concentration based on Expectiles for extreme risks under FGM copula
Mao, Tiantian; Yang, Fan - In: Insurance / Mathematics & economics 64 (2015), pp. 429-439
Persistent link: https://www.econbiz.de/10011398136
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Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims
Fu, Ke-ang; Ng, Cheuk Yin Andrew - In: Insurance / Mathematics & economics 56 (2014), pp. 80-87
Persistent link: https://www.econbiz.de/10010385027
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Multiplicative background risk models : setting a course for the idiosyncratic risk factors distributed phase-type
Furman, Edward; Kye, Yisub; Su, Jianxi - In: Insurance / Mathematics & economics 96 (2021), pp. 153-167
Persistent link: https://www.econbiz.de/10012482842
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On sums of two counter-monotonic risks
Chaoubi, Ihsan; Cossette, Hélène; Gadoury, Simon-Pierre; … - In: Insurance / Mathematics & economics 92 (2020), pp. 47-60
Persistent link: https://www.econbiz.de/10012242038
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Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
Li, Jinzhu - In: Insurance / Mathematics & economics 71 (2016), pp. 195-204
Persistent link: https://www.econbiz.de/10011630650
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Extremes for coherent risk measures
Asimit, Alexandru; Li, Jinzhu - In: Insurance / Mathematics & economics 71 (2016), pp. 332-341
Persistent link: https://www.econbiz.de/10011630863