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Optimal Investment Strategies for Pension Funds with Regulation-Conform Dynamic Pension Payment Management in the Absence of Guarantees

Lichtenstern, Andreas; Zagst, Rudi - 2021

In this article we consider the post-retirement phase optimization problem for a specific pension product in Germany that comes without guarantees. The continuous-time optimization problem is defined consisting of two specialties: first, we have a product-specific pension adjustment mechanism...

Persistent link: https://www.econbiz.de/10013322847

Expected utility theory on general affine GARCH models

Escobar, Marcos; Spies, Ben; Zagst, Rudi - In: Applied mathematical finance 28 (2021) 6, pp. 477-507

Persistent link: https://www.econbiz.de/10013411768

Portfolio optimization : not necessarily concave utility and constraints on wealth and allocation

Escobar, Marcos; Kschonnek, Michel; Zagst, Rudi - In: Mathematical methods of operations research : ZOR 95 (2022) 1, pp. 101-140

Persistent link: https://www.econbiz.de/10013184223

Innovations in derivatives markets : fixed income modeling, valuation adjustments, risk management, and regulation

Glau, Kathrin (contributor); Grbac, Zorana (contributor); … - Conference Innovations in Derivatives Markets - Fixed … - 2016

Persistent link: https://www.econbiz.de/10014013649

Portfolio optimization with wealth-dependent risk constraints

Escobar, Marcos; Wahl, Markus; Zagst, Rudi - In: Scandinavian actuarial journal 2022 (2022) 3, pp. 244-268

Persistent link: https://www.econbiz.de/10013370501

Decrease of capital guarantees in life insurance products : can reinsurance stop it?

Escobar, Marcos; Havrylenko, Yevhen; Kschonnek, Michel; … - In: Insurance / Mathematics & economics 105 (2022), pp. 14-40

Persistent link: https://www.econbiz.de/10013348899

Behavioral insurance : mathematics and economics

Laeven, Roger J. A. (ed.); Milevsky, Moshe Arye (ed.); … - 2021

Persistent link: https://www.econbiz.de/10012806095

Analyzing credit spread changes using explainable artificial intelligence

Heger, Julia; Min, Aleksey; Zagst, Rudi - In: International review of financial analysis 94 (2024), pp. 1-17

Persistent link: https://www.econbiz.de/10014543984