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Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan
Wang, Suxin; Lu, Yi - In: Insurance / Mathematics & economics 89 (2019), pp. 46-62
Persistent link: https://www.econbiz.de/10012133507
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Stochastic optimization for enterprise risk management
Zhang, Zhuojuan - 2006
Persistent link: https://www.econbiz.de/10003946505
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Sharing of longevity basis risk in pension schemes with income-drawdown guarantees
Agarwal, Ankush; Ewald, Christian; Wang, Yongjie - 2020
Persistent link: https://www.econbiz.de/10012661294
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Optimal multistage defined-benefit pension fund management
Consigli, Giorgio; Moriggia, Vittorio; Benincasa, Elena; … - In: Handbook of recent advances in commodity and financial …, (pp. 267-296). 2018
Persistent link: https://www.econbiz.de/10011898658
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The role of longevity-indexed bond in risk management of aggregated defined benefit pension scheme
Zhang, Xiaoyi; Li, Yanan; Guo, Junyi - In: Risks : open access journal 12 (2024) 3, pp. 1-17
Defined benefit (DB) pension plans are a primary type of pension schemes with the sponsor assuming most of the risks. Longevity-indexed bonds have been used to hedge or transfer risks in pension plans. Our objective is to study an aggregated DB pension plan's optimal risk management problem...
Persistent link: https://www.econbiz.de/10014497428
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Risk management of interest rate derivative portfolios : a stochastic control approach
Kiriakopoulos, Konstantinos; Koulis, Alexandros - In: Journal of risk and financial management : JRFM 7 (2014) 4, pp. 130-149
portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the …
Persistent link: https://www.econbiz.de/10011552973
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Optimal risk and liquidity management with costly refinancing opportunities
Barth, Andrea; Moreno-Bromberg, Santiago - In: Insurance / Mathematics & economics 57 (2014), pp. 31-45
Persistent link: https://www.econbiz.de/10010402740
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Optimal investment and risk control for an insurer with stochastic factor
Bo, Lijun; Wang, Shihua - In: Operations research letters 45 (2017) 3, pp. 259-265
Persistent link: https://www.econbiz.de/10011719330
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Stochastic receding horizon control for short-term risk management in foreign exchange
Noorian, Farzad; Flower, Barry G.; Leong, Philip H. W. - In: Journal of risk 18 (2016) 5, pp. 29-62
Persistent link: https://www.econbiz.de/10011598355
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Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
Han, Xia; Liang, Zhibin; Yuen, Kam Chuen - In: Scandinavian actuarial journal (2018) 10, pp. 863-889
Persistent link: https://www.econbiz.de/10011939763