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Minimization of risks in pension funding by means of contributions and portfolio selection · Study

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ArticleMinimization of risks in pension funding by means of contributions and portfolio selection

Ricardo Josa‐Fombellida2001

OA

Articlegreen2001

Minimization of risks in pension funding by means of contributions and portfolio selection

Ricardo Josa‐Fombellida · Juan Pablo Rincón‐Zapatero

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

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Stochastic processes and financial applications Financial Literacy, Pension, Retirement Analysis Risk and Portfolio Optimization

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References

2007Brownian Motion and Stochastic Calculus 1971Optimum consumption and portfolio rules in a continuous-time model 2005Controlled Markov Processes and Viscosity Solutions 1976Stochastic Differential Equations: Theory and Applications.1980Controlled Diffusion Processes 2007Stochastic Differential Equations: Theory and Applications 1996Stochastic Calculus: A Practical Introduction 1994Practical Risk Theory for Actuaries.

Cited by

2007Mean–variance portfolio and contribution selection in stochastic pension funding 2006Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases 2018Optimal investment strategies and intergenerational risk sharing for target benefit pension plans 2006Stochastic pension fund control in the presence of Poisson jumps 2006Optimal investment decisions with a liability: The case of defined benefit pension plans 2013Managing Capital Market and Longevity Risks in a Defined Benefit Pension Plan

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2004Optimal risk management in defined benefit stochastic pension fundsarticle · 6 shared references 2007Mean–variance portfolio and contribution selection in stochastic pension fundingarticle · 5 shared references 2006Optimal investment decisions with a liability: The case of defined benefit pension plansarticle · 5 shared references 1997Non-linear pricing theory and backward stochastic differential equationschapter · 4 shared references 2000Risk sensitive asset management with transaction costsarticle · 4 shared references 2015On the smoothness of value functions and the existence of optimal strategies in diffusion modelsarticle · 4 shared references

Details

Year2001

Typearticle

Published2001-08-01

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations58

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0167-6687(01)00070-1

openalex_workW2063710522

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

2019A Stackelberg Game of Backward Stochastic Differential Equations with Applications