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A benchmarking approach to optimal asset allocation for insurers and pension funds
Lim, Andrew E. B.; Wong, Bernard - In: Insurance / Mathematics & economics 46 (2010) 2, pp. 317-327
Persistent link: https://www.econbiz.de/10003966593
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On the optimality of joint periodic and extraordinary dividend strategies
Avanzi, Benjamin; Lau, Hayden; Wong, Bernard - In: European journal of operational research : EJOR 295 (2021) 3, pp. 1189-1210
Persistent link: https://www.econbiz.de/10012622451
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Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs
Avanzi, Benjamin; Lau, Hayden; Wong, Bernard - In: Insurance / Mathematics & economics 93 (2020), pp. 315-332
Persistent link: https://www.econbiz.de/10012294138
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On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models
Avanzi, Benjamin; Pérez, José-Luis; Wong, Bernard; … - In: Insurance / Mathematics & economics 72 (2017), pp. 148-162
Persistent link: https://www.econbiz.de/10011694419
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On the interface between optimal periodic and continuous dividend strategies in the presence of transaction costs
Avanzi, Benjamin; Tu, Vincent; Wong, Bernard - In: Astin bulletin : the journal of the International … 46 (2016) 3, pp. 709-746
Persistent link: https://www.econbiz.de/10011669766
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A Benchmarking Approach to Optimal Asset Allocation for Insurers and Pension Funds
Wong, Bernard; Lim, Andrew - 2010
We solve the optimal asset allocation problem for an insurer or pension fund by using a benchmarking approach. Under this approach the objective is an increasing function of the relative performance of the asset portfolio compared to a benchmark. The benchmark can be, for example, a function of...
Persistent link: https://www.econbiz.de/10014205503
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On the surplus management of funds with assets and liabilities in presence of solvency requirements
Avanzi, Benjamin; Chen, Ping; Henriksen, Lars Frederik … - In: Scandinavian actuarial journal 2023 (2023) 5, pp. 477-508
Persistent link: https://www.econbiz.de/10014336614