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Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
16 references·8 citing·31 second hop
Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates (2009)Optimal asset allocation for aggregated d…Numerical Solution of Stochastic Differential Equations (2016)Numerical Solution of Stochas…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans (2005)Stochastic lifestyling: Optim…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…1. Stochastic Differential Equations (2004)1. Stochastic Differential Eq…Stochastic Differential Equations (2003)Stochastic Differential Equat…Optimal investment strategies in the presence of a minimum guarantee (2003)Optimal investment strategies…Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund (2001)Optimal management under stoc…Brownian Motion and Stochastic Calculus (1998)Brownian Motion and Stochasti…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Controlled markov processes and viscosity solutions (1994)Controlled markov processes a…Actuarial Mathematics. (1986)Actuarial Mathematics.MARKET RISK ADJUSTMENT IN PROJECT VALUATION (1978)MARKET RISK ADJUSTMENT IN PRO…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…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…Institutional and individual investors: Saving for old age (2017)Institutional and individual …Optimal consumption–investment strategy under the Vasicek model: HARA utility and Legendre transform (2016)Optimal consumption–investmen…Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability (2016)Multi-period mean-variance po…Time-consistent reinsurance–investment strategy for a mean–variance insurer under stochastic interest rate model and inflation risk (2015)Time-consistent reinsurance–i…Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks (2014)Optimal reinsurance and inves…Income drawdown option with minimum guarantee (2013)Income drawdown option with m…Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes (2012)Stochastic pension funding wh…The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Martingale Methods in Financial Modelling (1997)Mean field games (2007)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)A Theory of the Term Structure of Interest Rates (1985)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)A pricing method for options based on average asset values (1990)Do subsidies to commercial R&D reduce market failures? Microeconometric evaluation studies (2000)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Controlled diffusion models for optimal dividend pay-out (1997)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Partial Differential Equations (2010)Affine processes for dynamic mortality and actuarial valuations (2005)Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift (2005)Does Option Compensation Increase Managerial Risk Appetite? (2000)Range‐Based Estimation of Stochastic Volatility Models (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)
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  • 2016Numerical Solution of Stochastic Differential Equations223 cited
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  • 1978

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MARKET RISK ADJUSTMENT IN PROJECT VALUATION
202 cited

Cited by

  • 2014Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks78 cited
  • 2016Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability51 cited
  • 2015Time-consistent reinsurance–investment strategy for a mean–variance insurer under stochastic interest rate model and inflation risk41 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 utility30 cited
  • 2013Income drawdown option with minimum guarantee30 cited
  • 2016Optimal consumption–investment strategy under the Vasicek model: HARA utility and Legendre transform29 cited
  • 2017Institutional and individual investors: Saving for old age26 cited