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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- 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.
- R. C. Merton, 1970.
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58, Massachusetts Institute of Technology (MIT), Department of Economics.
- Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December.
- Liu, Jun & Longstaff, Francis & Pan, Jun, 2001.
"Dynamic Asset Allocation with Event Risk,"
University of California at Los Angeles, Anderson Graduate School of Management
qt9fm6t5nb, Anderson Graduate School of Management, UCLA.
- 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.
- Wu, Liuren, 2003. " Jumps and Dynamic Asset Allocation," Review of Quantitative Finance and Accounting, Springer, vol. 20(3), pages 207-43, May.
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