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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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Stochastic optimization for enterprise risk management
Zhang, Zhuojuan - 2006
Persistent link: https://www.econbiz.de/10003946505
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Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas
Ji, Bingbing; Chen, Zhiping; Consigli, Giorgio; Yan, Zhe - In: Quantitative finance 22 (2022) 9, pp. 1759-1784
Persistent link: https://www.econbiz.de/10013367945
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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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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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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
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Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings
Josa-Fombellida, Ricardo; Rincón-Zapatero, Juan Pablo - In: Computers & operations research : and their … 35 (2008) 1, pp. 47-63
Persistent link: https://www.econbiz.de/10003665730
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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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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