Narrow search
Showing 11 - 20 of 680,721
Cover Image
Optimal dynamic asset allocation of pension fund in mortality and salary risks framework
Liang, Zongxia; Ma, Ming - In: Insurance / Mathematics & economics 64 (2015), pp. 151-161
Persistent link: https://www.econbiz.de/10011397973
Cover Image
Less is more : increasing retirement gains by using an upside terminal wealth constraint
Donnelly, Catherine; Gerrard, Russell; Guillén, Montserrat - In: Insurance / Mathematics & economics 64 (2015), pp. 259-267
Persistent link: https://www.econbiz.de/10011398052
Cover Image
Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns
Guan, Guohui; Liang, Zongxia - In: Insurance / Mathematics & economics 61 (2015), pp. 99-109
Persistent link: https://www.econbiz.de/10010515914
Cover Image
Optimal annuity portfolio under inflation risk
Konicz, Agnieszka Karolina; Pisinger, David; … - In: Computational Management Science : CMS 12 (2015) 3, pp. 461-488
Persistent link: https://www.econbiz.de/10011285966
Cover Image
Asset allocation for a DC pension fund with stochastic income and mortality risk : a multi-period mean–variance framework
Yao, Haixiang; Lai, Yongzeng; Ma, Qinghua; Jian, Minjie - In: Insurance / Mathematics & economics 54 (2014), pp. 84-92
Persistent link: https://www.econbiz.de/10010259667
Cover Image
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
Cover Image
Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints
Guan, Guohui; Liang, Zongxia - In: Insurance / Mathematics & economics 69 (2016), pp. 224-237
Persistent link: https://www.econbiz.de/10011533911
Cover Image
Optimal Investment for a Defined-Contribution Pension Scheme Under a Regime Switching Model
Chen, An - 2014
We study an asset allocation problem for a defined-contribution (DC) pension scheme in its accumulation phase. We assume that the amount contributed to the pension fund by a pension plan member is coupled with the salary income which fluctuates randomly over time and contains both a tradable and...
Persistent link: https://www.econbiz.de/10013052840
Cover Image
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
Cover Image
Pension fund management with hedging derivatives, stochastic dominance and nodal contamination
Moriggia, Vittorio; Kopa, Miloš; Vitali, Sebastiano - In: Omega : the international journal of management science 87 (2019), pp. 127-141
Persistent link: https://www.econbiz.de/10012063408