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Stochastic optimal control of annuity contracts

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  • Devolder, Pierre
  • Bosch Princep, Manuela
  • Dominguez Fabian, Inmaculada

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  • Devolder, Pierre & Bosch Princep, Manuela & Dominguez Fabian, Inmaculada, 2003. "Stochastic optimal control of annuity contracts," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 227-238, October.
    • Handle: RePEc:eee:insuma:v:33:y:2003:i:2:p:227-238
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    References listed on IDEAS

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    1. Menoncin, Francesco, 2002. "Optimal portfolio and background risk: an exact and an approximated solution," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 249-265, October.
    2. Blake, David, 1998. "Pension schemes as options on pension fund assets: implications for pension fund management," Insurance: Mathematics and Economics, Elsevier, vol. 23(3), pages 263-286, December.
    3. Charupat, Narat & Milevsky, Moshe A., 2002. "Optimal asset allocation in life annuities: a note," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 199-209, April.
    4. Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-257, August.
    5. Cairns, Andrew, 2000. "Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time," ASTIN Bulletin, Cambridge University Press, vol. 30(1), pages 19-55, May.
    6. Vigna, Elena & Haberman, Steven, 2001. "Optimal investment strategy for defined contribution pension schemes," Insurance: Mathematics and Economics, Elsevier, vol. 28(2), pages 233-262, April.
    7. Keel, Alex & Müller, Heinz H., 1995. "Efficient Portfolios in the Asset Liability Context," ASTIN Bulletin, Cambridge University Press, vol. 25(1), pages 33-48, May.
    8. Haberman, Steven & Sung, Joo-Ho, 1994. "Dynamic approaches to pension funding," Insurance: Mathematics and Economics, Elsevier, vol. 15(2-3), pages 151-162, December.
    9. Griselda Deelstra & Martino Grasselli & Pierre-François Koehl, 2000. "Optimal investment strategies in a CIR framework," ULB Institutional Repository 2013/7594, ULB -- Universite Libre de Bruxelles.
    10. Boulier, Jean-Francois & Huang, ShaoJuan & Taillard, Gregory, 2001. "Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund," Insurance: Mathematics and Economics, Elsevier, vol. 28(2), pages 173-189, April.
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    Cited by:

    1. Gu, Mengdi & Yang, Yipeng & Li, Shoude & Zhang, Jingyi, 2010. "Constant elasticity of variance model for proportional reinsurance and investment strategies," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 580-587, June.
    2. Xiao Xu, 2020. "The optimal investment strategy of a DC pension plan under deposit loan spread and the O-U process," Papers 2005.10661, arXiv.org.
    3. Hong‐Chih Huang, 2010. "Optimal Multiperiod Asset Allocation: Matching Assets to Liabilities in a Discrete Model," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(2), pages 451-472, June.
    4. Elena Vigna, 2009. "Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes," Carlo Alberto Notebooks 108, Collegio Carlo Alberto, revised 2009.
    5. Yang Wang & Xiao Xu & Jizhou Zhang, 2021. "Optimal Investment Strategy for DC Pension Plan with Stochastic Income and Inflation Risk under the Ornstein–Uhlenbeck Model," Mathematics, MDPI, vol. 9(15), pages 1-15, July.
    6. Chavez-Bedoya, Luis & Castaneda, Ranu, 2021. "A benchmarking approach to track and compare administrative charges on flow and balance in individual account pension systems," Insurance: Mathematics and Economics, Elsevier, vol. 97(C), pages 7-23.
    7. Gao, Jianwei, 2009. "Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 9-18, August.
    8. Menoncin, Francesco & Vigna, Elena, 2017. "Mean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 172-184.
    9. Jung, Eun Ju & Kim, Jai Heui, 2012. "Optimal investment strategies for the HARA utility under the constant elasticity of variance model," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 667-673.
    10. Josa-Fombellida, Ricardo & López-Casado, Paula & Rincón-Zapatero, Juan Pablo, 2018. "Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 73-86.
    11. Henrique Ferreira Morici & Elena Vigna, 2023. "Optimal additional voluntary contribution in DC pension schemes to manage inadequacy risk," Carlo Alberto Notebooks 699 JEL Classification: C, Collegio Carlo Alberto.
    12. Gao, Jianwei, 2010. "An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 511-530, June.
    13. Hainaut, Donatien & Devolder, Pierre, 2007. "Management of a pension fund under mortality and financial risks," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 134-155, July.
    14. Wang, Pei & Li, Zhongfei, 2018. "Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 80(C), pages 67-83.
    15. Huang, Hong-Chih & Lee, Yung-Tsung, 2020. "A study of the differences among representative investment strategies," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 131-149.
    16. Gao, Jianwei, 2008. "Stochastic optimal control of DC pension funds," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1159-1164, June.
    17. Elena Vigna, 2009. "Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes," CeRP Working Papers 89, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    18. Xiao, Jianwu & Hong, Zhai & Qin, Chenglin, 2007. "The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 302-310, March.
    19. He, Lin & Liang, Zongxia, 2013. "Optimal investment strategy for the DC plan with the return of premiums clauses in a mean–variance framework," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 643-649.
    20. Sun, Jingyun & Li, Zhongfei & Zeng, Yan, 2016. "Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump–diffusion model," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 158-172.
    21. Gao, Jianwei, 2009. "Optimal portfolios for DC pension plans under a CEV model," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 479-490, June.
    22. Francesco Menoncin & Elena Vigna, 2013. "Mean-variance target-based optimisation in DC plan with stochastic interest rate," Carlo Alberto Notebooks 337, Collegio Carlo Alberto.
    23. Alonso-García, J. & Devolder, P., 2016. "Optimal mix between pay-as-you-go and funding for DC pension schemes in an overlapping generations model," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 224-236.

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