Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan
Sign Up to like & getrecommendations! Published in 2019 at "Insurance: Mathematics and Economics"
DOI: 10.1016/j.insmatheco.2019.09.005
Abstract: Abstract A continuous time stochastic model is used to study a hybrid pension plan, where both the contribution and benefit levels are adjusted depending on the performance of the plan, with risk sharing between different… read more here.
Keywords: pension; risk sharing; hybrid pension; pension plan ... See more keywords
DETERMINISTIC INVESTMENT STRATEGY IN A DC PENSION PLAN WITH INFLATION RISK UNDER MEAN-VARIANCE CRITERION
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DOI: 10.1017/s026996482000025x
Abstract: This paper studies an optimal deterministic investment problem for a DC pension plan member with inflation risk. We describe the price processes of the inflation-indexed bond and the stock by a continuous diffusion process and… read more here.
Keywords: inflation risk; investment; deterministic investment; pension plan ... See more keywords
Equilibrium behavioral strategy for a DC pension plan with piecewise linear state-dependent risk tolerance
Sign Up to like & getrecommendations! Published in 2021 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2021.1952265
Abstract: We investigate the equilibrium behavioral strategy for a defined contribution (DC) pension plan during the accumulation phase in this paper. We adopt a state-dependent function to describe the risk... read more here.
Keywords: equilibrium behavioral; pension plan; state dependent; behavioral strategy ... See more keywords