Stochastic pension fund control in the presence of Poisson jumps
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- Josa-Fombellida, Ricardo & Rincon-Zapatero, Juan Pablo, 2004. "Optimal risk management in defined benefit stochastic pension funds," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 489-503, June.
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- R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
- Wu, Liuren, 2003. "Jumps and Dynamic Asset Allocation," Review of Quantitative Finance and Accounting, Springer, vol. 20(3), pages 207-43, May.
- Haberman, S. & Day, C. & Fogarty, D. & Khorasanee, M. Z. & McWhirter, M. & Nash, N. & Ngwira, B. & Wright, I. D. & Yakoubov, Y., 2003. "A Stochastic Approach to Risk Management and Decision Making in Defined Benefit Pension Schemes," British Actuarial Journal, Cambridge University Press, vol. 9(03), pages 493-586, August.
- Chang, S. C. & Tzeng, Larry Y. & Miao, Jerry C. Y., 2003. "Pension funding incorporating downside risks," Insurance: Mathematics and Economics, Elsevier, vol. 32(2), pages 217-228, April.
- Cairns, Andrew, 2000. "Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 30(01), pages 19-55, May.
- 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, vol. 29(1), pages 35-45, August.
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