Optimal additional voluntary contribution in DC pension schemes to manage inadequacy risk
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DOI: 10.1007/s10203-024-00451-3
Abstract: In defined contribution pension schemes the member bears the investment risk and her main concern is to obtain an inadequate fund at retirement. To address inadequacy risk, flexibility is often given to the member to… read more here.
Keywords: contribution pension; pension schemes; inadequacy risk; member ... See more keywords
Optimal defined-contribution pension management with financial and mortality risks
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DOI: 10.1017/asb.2024.22
Abstract: Abstract This paper studies optimal defined-contribution (DC) pension management under stochastic interest rates and expected inflation. In addition to financial risk, we consider the risk of pre-retirement death and introduce life insurance to the pension… read more here.
Keywords: pension management; contribution pension; defined contribution; pension ... See more keywords
Robust two-player differential investment game of defined contribution pension plans under multiple risks
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DOI: 10.1080/03461238.2024.2401399
Abstract: This paper explores the optimal management of defined contribution pension plans under multiple risks and strategic interactions using a stochastic differential game between two managers, accounting for model misspecification. Managers who are both competitive and… read more here.
Keywords: contribution pension; plans multiple; pension plans; defined contribution ... See more keywords