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The impact of savings withdrawals on a banker's capital holdings subject to Basel III accord

Perera, Ryle S.; Sato, Kimitoshi - In: Annals of financial economics 15 (2020) 2, pp. 1-30

Persistent link: https://www.econbiz.de/10012642961

Optimal portfolio choice under shadow costs with fixed assets when time-horizon is uncertain

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Risk-sensitive asset management with lognormal interest rates

Hata, Hiroaki - In: Asia Pacific financial markets 28 (2021) 2, pp. 169-206

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Optimal asset allocation for DC pension decumulation with a variable spending rule

Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham - In: ASTIN bulletin : the journal of the International … 50 (2020) 2, pp. 419-447

Persistent link: https://www.econbiz.de/10012243346

Optimal reinsurance under dynamic VaR constraint

Zhang, Nan; Zhuo, Jin; Li, Shuanming; Chen, Ping - In: Insurance / Mathematics & economics 71 (2016), pp. 232-243

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On minimizing drawdown risks of lifetime investments

Chen, Xinfu; Landriault, David; Li, Bin; Li, Dongchen - In: Insurance / Mathematics & economics 65 (2015), pp. 46-54

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Minimization of absolute ruin probability under negative correlation assumption

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Optimal trade execution under displaced diffusions dynamics across different risk criteria

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International investment with exchange rate risk

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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