Robust Optimal Strategies of DC Pension Plans with a Minimum Guarantee Under Stochastic Interest Rate and Mean-Reverting Return Framework
Sign Up to like & getrecommendations! Published in 2024 at "American Journal of Mathematical and Management Sciences"
DOI: 10.1080/01966324.2024.2441465
Abstract: Abstract This paper studies the robust optimal strategies for an ambiguity-averse manager (AAM) of defined contribution (DC) pension plans with a minimum guarantee under the stochastic interest rate and mean-reverting return framework. The manager has… read more here.
Keywords: robust optimal; interest rate; minimum guarantee; interest ... See more keywords
Optimal asset allocation for participating contracts with mortality risk under minimum guarantee
Sign Up to like & getrecommendations! Published in 2019 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2019.1589518
Abstract: Abstract We investigate an optimal investment problem of participating insurance contracts with mortality risk under minimum guarantee. The insurer aims to maximize the expected utility of the terminal payoff. Due to its piecewise payoff structure,… read more here.
Keywords: mortality risk; minimum guarantee; contracts mortality; problem ... See more keywords