Stochastic pension fund control in the presence of Poisson jumps
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 40 (2007)
Issue (Month): 2 (March)
Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/505554
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Josa-Fombellida, Ricardo & Rincon-Zapatero, Juan Pablo, 2004. "Optimal risk management in defined benefit stochastic pension funds," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 34(3), pages 489-503, June.
- Das, Sanjiv Ranjan & Uppal, Raman, 2002.
"Systemic Risk and International Portfolio Choice,"
CEPR Discussion Papers, C.E.P.R. Discussion Papers
3305, C.E.P.R. Discussion Papers.
- Wu, Liuren, 2003. " Jumps and Dynamic Asset Allocation," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 20(3), pages 207-43, May.
- Merton, Robert C., 1971.
"Optimum consumption and portfolio rules in a continuous-time model,"
Journal of Economic Theory, Elsevier,
Elsevier, vol. 3(4), pages 373-413, December.
- R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics 58, Massachusetts Institute of Technology (MIT), Department of Economics.
- Jun Liu & Francis A. Longstaff & Jun Pan, 2002.
"Dynamic Asset Allocation With Event Risk,"
NBER Working Papers
9103, National Bureau of Economic Research, Inc.
- Chang, S. C. & Tzeng, Larry Y. & Miao, Jerry C. Y., 2003. "Pension funding incorporating downside risks," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 32(2), pages 217-228, April.
- Josa-Fombellida, Ricardo & Rincon-Zapatero, Juan Pablo, 2001. "Minimization of risks in pension funding by means of contributions and portfolio selection," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 29(1), pages 35-45, August.
- Maurer, Raimond & Mitchell, Olivia S. & Rogalla, Ralph, 2009. "Managing contribution and capital market risk in a funded public defined benefit plan: Impact of CVaR cost constraints," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 45(1), pages 25-34, August.
- Josa-Fombellida, Ricardo & Rincón-Zapatero, Juan Pablo, 2012. "Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes," European Journal of Operational Research, Elsevier, Elsevier, vol. 220(2), pages 404-413.
- Huang, Jianhui & Wang, Guangchen & Wu, Zhen, 2010. "Optimal premium policy of an insurance firm: Full and partial information," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 47(2), pages 208-215, October.
- He, Lin & Liang, Zongxia, 2013. "Optimal dynamic asset allocation strategy for ELA scheme of DC pension plan during the distribution phase," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 52(2), pages 404-410.
- repec:nbr:nberwo:14332 is not listed on IDEAS
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.