Found 38 Documents (Results 1–38)
A defined benefit pension plan model with stochastic salary and heterogeneous discounting. (English) Zbl 1519.91213
Time consistent pension funding in a defined benefit pension plan with non-constant discounting. (English) Zbl 1454.91197
Reviewer: Emilia Di Lorenzo (Napoli)
MSC:
91G05
Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance. (English) Zbl 1416.91192
Pension risk management with funding and buyout options. (English) Zbl 1398.91322
MSC:
91B30
91G20
Optimal surplus, minimum pension benefits and consumption plans in a mean-variance portfolio approach for a defined contribution pension scheme. (English) Zbl 1335.91068
Age-dependent investing: optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners. (English) Zbl 1402.90200
MSC:
90C39
91B30
Intergenerational risk sharing, pensions, and endogenous labour supply in general equilibrium. (English) Zbl 1397.91278
MSC:
91B30
91B62
Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes. (English) Zbl 1253.91197
Multiple decrement models in insurance. An introduction using R. (English) Zbl 1248.91045
New York, NY: Springer (ISBN 978-81-322-0658-3/hbk; 978-81-322-0659-0/ebook). xvi, 220 p. (2012).
Reviewer: Pavel Stoynov (Sofia)
Pension funding problem with regime-switching geometric Brownian motion assets and liabilities. (English) Zbl 1224.91050
Reviewer: A. D. Borisenko (Kyïv)
Longevity risk in portfolios of pension annuities. (English) Zbl 1152.91586
MSC:
91B30
Mean-variance portfolio and contribution selection in stochastic pension funding. (English) Zbl 1135.91019
Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings. (English) Zbl 1168.91389
MSC:
91B28
93E20
A note on the instability of the unprojected individual level premium cost method. (English) Zbl 1192.91115
MSC:
91B30
91G50
Optimal investment decisions with a liability: the case of defined benefit pension plans. (English) Zbl 1147.91341
Optimal pension funding dynamics over infinite control horizon when stochastic rates of return are stationary. (English) Zbl 1111.91023
MSC:
91B30
90C39
Dynamic programming approach to pension funding: the case of incomplete state information. (English) Zbl 1062.90064
Pension funding with moving average rates of return. (English) Zbl 0971.91040
Reviewer: R.E.Maiboroda (Kyïv)
MSC:
91B30
60J05
Moving average rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme. (English) Zbl 0906.62111
Reviewer: W.R.Heilmann (Karlsruhe)
Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme. (English) Zbl 0808.62097
Reviewer: W.R.Heilmann (Karlsruhe)
Pension funding with time delays and autoregressive rates of investment return. (English) Zbl 0789.62087
Über die Variation von Steuerungsgrößen in Rentenversicherungssystemen. (On the variation of control parameters in pension systems). (German) Zbl 0763.62056
Reviewer: W.R.Heilmann (Karlsruhe)
MSC:
62P05
Pension funding and optimal control. (English) Zbl 0713.62106
MSC:
62P05
49J22
The distribution of a perpetuity, with applications to risk theory and pension funding. (English) Zbl 0743.62101
Reviewer: E.Shiu (Winnipeg)
A two-parameter family of pension contribution functions and stochastic optimization. (English) Zbl 0658.62124
Actuarial mathematics. (English) Zbl 0634.62107
Itasca, Illinois: The Society of Actuaries. XXIII, 624 p. (1986).
Reviewer: W.R.Heilmann
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