Citation map · Study

SZodixStudyAcademic Library

Dashboard Shelves Open access My library Inbox Notes Write Learn Alerts

More

Ask your library Notifications Quick cite Review

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Optimal risk management in defined benefit stochastic pension funds

13 references·13 citing·36 second hop

FromToDepth

this work references cited by second hop

References

1985A Theory of the Term Structure of Interest Rates8,333 cited
1977An equilibrium characterization of the term structure6,104 cited
1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
2005Controlled Markov Processes and Viscosity Solutions2,698 cited
1976Stochastic Differential Equations: Theory and Applications.2,351 cited
1998Stochastic Differential Equations714 cited
2007Stochastic Differential Equations: Theory and Applications588 cited
2001Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund284 cited
2003Optimal investment strategies in the presence of a minimum guarantee210 cited
1978MARKET RISK ADJUSTMENT IN PROJECT VALUATION202 cited
2000Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time164 cited
2001Optimal investment strategy for defined contribution pension schemes140 cited
1994Dynamic approaches to pension funding121 cited

Cited by

2007Mean–variance portfolio and contribution selection in stochastic pension funding68 cited
2009Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

62 cited

2018Optimal investment strategies and intergenerational risk sharing for target benefit pension plans49 cited

2015De-risking defined benefit plans48 cited

2006Stochastic pension fund control in the presence of Poisson jumps43 cited

2006Optimal investment decisions with a liability: The case of defined benefit pension plans43 cited

2012Roy’s Safety‐First Portfolio Principle in Financial Risk Management of Disastrous Events42 cited

2007Mean–variance optimization problems for an accumulation phase in a defined benefit plan41 cited

2013Managing Capital Market and Longevity Risks in a Defined Benefit Pension Plan37 cited

2012Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes36 cited

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

2013Optimal dynamic asset allocation strategy for ELA scheme of DC pension plan during the distribution phase28 cited

2017Institutional and individual investors: Saving for old age26 cited