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Optimal dynamic asset allocation strategy for ELA scheme of DC pension plan during the distribution phase
16 references·1 citing·39 second hop
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References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 2005Applied Stochastic Control of Jump Diffusions883 cited
  • 1991How Strong Are Bequest Motives? Evidence Based on Estimates of the Demand for Life Insurance and Annuities489 cited
  • 2004Systemic Risk and International Portfolio Choice405 cited
  • 1990The Cost of Annuities: Implications for Saving Behavior and Bequests385 cited
  • 2001Private pensions, mortality risk, and the decision to annuitize348 cited
  • 2002Optimal investment strategies and risk measures in defined contribution pension schemes182 cited
  • 2003Pensionmetrics 2: stochastic pension plan design during the distribution phase172 cited
  • 2000Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time164 cited
  • 2004Optimal investment choices post-retirement in a defined contribution pension scheme148 cited
  • 2001Optimal investment strategy for defined contribution pension schemes140 cited
  • 2012Optimal asset allocation for DC pension plans under inflation138 cited
  • 2000Self-Annuitization and Ruin in Retirement116 cited
  • 2004Optimal risk management in defined benefit stochastic pension funds88 cited
  • 2008

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Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs
82 cited
  • 2007Optimal financing and dividend control of the insurance company with proportional reinsurance policy63 cited
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    • 2020Alpha-robust mean-variance investment strategy for DC pension plan with uncertainty about jump-diffusion risk25 cited