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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
investigate the investment strategies in a market, comprising a longevity-indexed bond and a risk-free asset, under stochastic …
Persistent link: https://www.econbiz.de/10014497428
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Stochastic programming in multistage financial planning
Şimşek, Koray Deniz - 2004
Persistent link: https://www.econbiz.de/10003551603
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Stochastic optimization for enterprise risk management
Zhang, Zhuojuan - 2006
Persistent link: https://www.econbiz.de/10003946505
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Income drawdown option with minimum guarantee
Di Giacinto, Marina; Federico, Salvatore; Gozzi, Fausto; … - In: European journal of operational research : EJOR 234 (2014) 3, pp. 610-624
Persistent link: https://www.econbiz.de/10010360497
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Risk aversion in multistage stochastic programming : a modeling and algorithmic perspective
Homem-de-Mello, Tito; Pagnoncelli, Bernardo K. - In: European journal of operational research : EJOR 249 (2016) 1, pp. 188-199
Persistent link: https://www.econbiz.de/10011435793
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Optimal savings management for individuals with defined contribution pension plans
Konicz, Agnieszka Karolina; Mulvey, John M. - In: European journal of operational research : EJOR 243 (2015) 1, pp. 233-247
Persistent link: https://www.econbiz.de/10010492965
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Liability-Driven Investment for Pension Funds : Stochastic Optimization with Real Assets
Jang, Chul; Clare, Andrew; Owadally, Iqbal - 2021
liabilities. Over a 10-year planning horizon, the optimal LDI strategy with a key-rate duration-matching bond portfolio … outperforms the corresponding strategy with a duration-convexity matching bond portfolio as well as a strategy with an aggregate … bond index-tracking portfolio. When real assets are introduced, the optimal LDI strategy includes significant investment in …
Persistent link: https://www.econbiz.de/10013231480
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On integrated chance constraints in alm for pension funds
Toukourou, Youssouf A. F.; Boutin-Dufresne, François - In: Astin bulletin : the journal of the International … 48 (2018) 2, pp. 571-609
Persistent link: https://www.econbiz.de/10011875667
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Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching
Chen, Zhiping; Wang, Liyuan; Chen, Ping; Yao, Haixiang - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-33
Persistent link: https://www.econbiz.de/10012153045
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Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints
Duarte, Thiago B.; Valladão, Davi M.; Veiga, Alvaro - In: Insurance / Mathematics & economics 77 (2017), pp. 177-188
Persistent link: https://www.econbiz.de/10011783945