Stochastic optimal control of annuity contracts

By Pierre Devolder, M. B. Príncep, I. Fabián. 2003

105 citations recorded by the source corpus.

Subfields: Accounting, Demography, Finance

View Paper: https://www.semanticscholar.org/paper/a4058bf1c87932b97089f0a9b1d810553860f77e

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In Accounting

1. Elena Vigna
2. F. Menoncin
3. Jian-wei Gao
4. Zhongfei Li
5. Pei Wang
6. Guohui Guan
7. Zongxia Liang

In Demography

1. Elena Vigna
2. Pei Wang
3. Zhongfei Li
4. F. Menoncin
5. Jian-wei Gao
6. Steven Haberman
7. Guohui Guan
8. Zongxia Liang

In Finance

1. Elena Vigna
2. Pei Wang
3. Zhongfei Li
4. Jian-wei Gao
5. F. Menoncin
6. Steven Haberman
7. Guohui Guan
8. Zongxia Liang

Citations in the corpus

• Mean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework (2017, background): “…(mainly maximisation of expected utility of final wealth) and financial market structures, see, among many others, Boulier et al. (2001), Haberman and Vigna (2002), Deelstra et al. (2003), Devolder et al. (2003), Battocchio and Menoncin (2004), Cairns et al. (2006), Di Giacinto et al. (2011).”
• On efficiency of mean–variance based portfolio selection in defined contribution pension schemes (2014, background): “…of optimal investment strategies resulting from EU maximization (see, for instance, Boulier et al. (2001), Haberman and Vigna (2002), Deelstra et al. (2003), Devolder et al. (2003), Battocchio and Menoncin (2004), Cairns et al. (2006), Xiao et al. (2007), Gao (2008), and Di Giacinto et al. (2011)).”
• Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model (2009, methodology): “Following Devolder et al. (2003) and Xiao et al. (2007), the pension liabilities after retirement are supposed to be paid in the form of an annuity whose level is guaranteed by the insurer.”
• Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility (2018, background): “There are many studies considering the optimal investment strategy before retirement to maximize the expected utility from terminal wealth, for example, Devolder et al. (2003), Cairns et al. (2006) and Korn et al. (2011).”
• Optimal strategies for pay-as-you-go pension finance: A sustainability framework (2016, background): “(2002) [13], Feldstein and Liebman (2002) [16], Haberman and Vigna (2002) [18], Roberts (2002) [31] and Sayan and Kiraci (2001) [32]).”