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Stochastic pension fund control in the presence of Poisson jumps
9 references·7 citing·35 second hop
Stochastic pension fund control in the presence of Poisson jumps (2006)Stochastic pension fund control in the pr…Systemic Risk and International Portfolio Choice (2004)Systemic Risk and Internation…Optimal risk management in defined benefit stochastic pension funds (2004)Optimal risk management in de…Pension funding incorporating downside risks (2003)Pension funding incorporating…Jumps and Dynamic Asset Allocation (2003)Jumps and Dynamic Asset Alloc…Dynamic Asset Allocation with Event Risk (2003)Dynamic Asset Allocation with…A Stochastic Approach to Risk Management and Decision Making in Defined Benefit Pension Schemes (2003)A Stochastic Approach to Risk…Minimization of risks in pension funding by means of contributions and portfolio selection (2001)Minimization of risks in pens…Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time (2000)Some Notes on the Dynamics an…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility (2021)Optimal investment and benefi…Pension Risk Management in the Enterprise Risk Management Framework (2016)Pension Risk Management in th…The Elephant In The Ground: Managing Oil And Sovereign Wealth (2015)The Elephant In The Ground: M…Optimal dynamic asset allocation strategy for ELA scheme of DC pension plan during the distribution phase (2013)Optimal dynamic asset allocat…Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes (2012)Stochastic pension funding wh…Optimal premium policy of an insurance firm: Full and partial information (2010)Optimal premium policy of an …Mean–variance optimization problems for an accumulation phase in a defined benefit plan (2007)Mean–variance optimization pr…An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Mean–variance portfolio and contribution selection in stochastic pension funding (2007)Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates (2009)Optimal investment strategies and intergenerational risk sharing for target benefit pension plans (2018)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Portfolio Selection (1952)Financial Modelling with Jump Processes (2003)Stochastic Integration and Differential Equations (2005)Asset allocation for a DC pension fund with stochastic income and mortality risk: A multi-period mean–variance framework (2013)Continuous time mean‐variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach (2013)De-risking defined benefit plans (2015)An Intertemporal General Equilibrium Model of Asset Prices (1985)Practical risk theory for actuaries. (1994)Practical Risk Theory for Actuaries. (1994)Controlled Markov Processes and Viscosity Solutions (2005)Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases (2006)Brownian Motion and Stochastic Calculus (2007)Portfolio Selection with Transaction Costs (1990)Continuous-Time Finance. (1991)Stochastic optimal control of annuity contracts (2003)On efficiency of mean–variance based portfolio selection in defined contribution pension schemes (2012)Option pricing when underlying stock returns are discontinuous (1976)Taylor series approximations to expected utility and optimal portfolio choice (2011)Martingales and arbitrage in multiperiod securities markets (1979)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks (2004)International asset allocation under regime switching, skew, and kurtosis preferences (2008)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Is there dependence and systemic risk between oil and renewable energy stock prices? (2014)PORTFOLIO SELECTION* (1952)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)
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References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 2003Dynamic Asset Allocation with Event Risk415 cited
  • 2004Systemic Risk and International Portfolio Choice405 cited
  • 2000Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time164 cited
  • 2004Optimal risk management in defined benefit stochastic pension funds88 cited
  • 2001Minimization of risks in pension funding by means of contributions and portfolio selection58 cited
  • 2003Jumps and Dynamic Asset Allocation48 cited
  • 2003Pension funding incorporating downside risks48 cited
  • 2003A Stochastic Approach to Risk Management and Decision Making in Defined Benefit Pension Schemes33 cited

Cited by

  • 2007Mean–variance optimization problems for an accumulation phase in a defined benefit plan41 cited
  • 2015The Elephant In The Ground: Managing Oil And Sovereign Wealth39 cited
  • 2010Optimal premium policy of an insurance firm: Full and partial information37 cited
  • 2012Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes36 cited
  • 2021Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility

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30 cited
  • 2013Optimal dynamic asset allocation strategy for ELA scheme of DC pension plan during the distribution phase28 cited
  • 2016Pension Risk Management in the Enterprise Risk Management Framework27 cited