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Optimal design of the guarantee for defined contribution funds

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References

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2010Pension funds with a minimum guarantee: a stochastic control approach98 cited
2018Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility90 cited
2010A stochastic control problem with delay arising in a pension fund model89 cited
2021Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty85 cited
2009Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model83 cited
2017Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk74 cited
2016Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model67 cited
2013Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model63 cited

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2019Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility37 cited

2010An extended CEV model and the Legendre transform–dual–asymptotic solutions for annuity contracts37 cited

2008Pension funds as institutions for intertemporal risk transfer35 cited

2006Management of a pension fund under mortality and financial risks34 cited

2017Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee25 cited

2020Alpha-robust mean-variance investment strategy for DC pension plan with uncertainty about jump-diffusion risk25 cited

2018Communication and personal selection of pension saver’s financial risk23 cited