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Management of a pension fund under mortality and financial risks

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  • Hainaut, Donatien
  • Devolder, Pierre
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    File URL: http://www.sciencedirect.com/science/article/B6V8N-4MFTVD7-1/2/a5278be955b5a430b6bdd1b662b6ded2
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    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 41 (2007)
    Issue (Month): 1 (July)
    Pages: 134-155

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    Handle: RePEc:eee:insuma:v:41:y:2007:i:1:p:134-155

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    Web page: http://www.elsevier.com/locate/inca/505554

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    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.:
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    1. 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, Elsevier, vol. 28(2), pages 173-189, April.
    2. Francesco Menoncin & Olivier Scaillet, 2006. "Optimal asset management for pension funds," Managerial Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 32(4), pages 347-374.
    3. Griselda Deelstra & Martino Grasselli & Pierre-François Koehl, 2004. "Optimal design of the guarantee for defined contribution funds," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles 2013/7602, ULB -- Universite Libre de Bruxelles.
    4. Griselda Deelstra & Martino Grasselli & Pierre-François Koehl, 2003. "Optimal investment strategies in the presence of a minimum guarantee," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles 2013/7598, ULB -- Universite Libre de Bruxelles.
    5. 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.
    6. Cox, John C. & Huang, Chi-fu, 1989. "Optimal consumption and portfolio policies when asset prices follow a diffusion process," Journal of Economic Theory, Elsevier, Elsevier, vol. 49(1), pages 33-83, October.
    7. 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.
    8. Deelstra, Griselda & Grasselli, Martino & Koehl, Pierre-Francois, 2003. "Optimal investment strategies in the presence of a minimum guarantee," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 33(1), pages 189-207, August.
    9. Devolder, Pierre & Bosch Princep, Manuela & Dominguez Fabian, Inmaculada, 2003. "Stochastic optimal control of annuity contracts," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 33(2), pages 227-238, October.
    10. Deelstra, Griselda & Grasselli, Martino & Koehl, Pierre-Francois, 2004. "Optimal design of the guarantee for defined contribution funds," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 28(11), pages 2239-2260, October.
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    Cited by:
    1. Menoncin, Francesco, 2008. "The role of longevity bonds in optimal portfolios," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 42(1), pages 343-358, February.
    2. repec:nbr:nberwo:14332 is not listed on IDEAS
    3. Luciano, Elisa & Regis, Luca, 2014. "Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 55(C), pages 68-77.
    4. Yao, Haixiang & Lai, Yongzeng & Ma, Qinghua & Jian, Minjie, 2014. "Asset allocation for a DC pension fund with stochastic income and mortality risk: A multi-period mean–variance framework," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 54(C), pages 84-92.
    5. 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.

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