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Stochastic pension fund control in the presence of Poisson jumps · Study

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ArticleStochastic pension fund control in the presence of Poisson jumps

Bernard Chiwiya Ngwira2006

Article2006

Stochastic pension fund control in the presence of Poisson jumps

Bernard Chiwiya Ngwira · Russell Gerrard

43 citations·0/0 files stored·Insurance Mathematics and Economics

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Stochastic processes and financial applications Financial Literacy, Pension, Retirement Analysis Probability and Risk Models

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References

1971Optimum consumption and portfolio rules in a continuous-time model 2003Dynamic Asset Allocation with Event Risk 2004Systemic Risk and International Portfolio Choice 2000Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time 2004Optimal risk management in defined benefit stochastic pension funds 2001Minimization of risks in pension funding by means of contributions and portfolio selection 2003Jumps and Dynamic Asset Allocation 2003Pension funding incorporating downside risks

Cited by

2007Mean–variance optimization problems for an accumulation phase in a defined benefit plan 2010Optimal premium policy of an insurance firm: Full and partial information 2012Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes 2021Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility 2016Pension Risk Management in the Enterprise Risk Management Framework

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2012Stochastic pension funding when the benefit and the risky asset follow jump diffusion processesarticle · 6 shared references 2007Mean–variance portfolio and contribution selection in stochastic pension fundingarticle · 4 shared references 2006Optimal investment decisions with a liability: The case of defined benefit pension plansarticle · 4 shared references 2009Portfolio choice with jumps: A closed-form solutionarticle · 3 shared references 2007Optimal portfolio allocation with higher momentsarticle · 3 shared references 2015Portfolio Choice in Markets with Contagionarticle · 3 shared references

Details

Year2006

Typearticle

Published2006-06-20

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations43

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.insmatheco.2006.05.002

openalex_workW2018959111

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