The constant elasticity of variance (CEV) model and the Legendre transform–dual solution for annuity contracts

By Jianwu Xiao, Zhai Hong, Cheng-lin Qin. 2007

143 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b017f38f57ec5dee14d12a7ed2a6e3ba3562e48e

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Elena Vigna
2. Xiang Lin
3. Haixiang Yao
4. Zhou Yang
5. Ping Chen
6. Yipeng Yang
7. Jingyi Zhang
8. Shoude Li

In Economics and Econometrics

1. Elena Vigna
2. Yipeng Yang
3. Xiang Lin
4. Ping Chen
5. Jingyi Zhang
6. Yanfang Li
7. Zhou Yang
8. Jian-wei Gao

In Finance

1. Elena Vigna
2. Xiang Lin
3. Haixiang Yao
4. Zhou Yang
5. Ping Chen
6. Yipeng Yang
7. Jingyi Zhang
8. Shoude Li

Citations in the corpus

• 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 Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model (2011, background): “Recently, Xiao et al. (2007) and Gao (2009a, 2009b) investigated an optimal asset allocation problem for a defined contribution pension plan under the CEV model.”
• Constant elasticity of variance model for proportional reinsurance and investment strategies (2010, methodology): “Recently, Xiao et al. (2007) and Gao (2009) used the CEV model to the pension investment.”
• 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.”
• Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model (2013, methodology): “Pension funds may be classified as defined benefit (DB) or defined contribution (DC), according to how the benefits are determined (see Xiao et al., 2007).”
• Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model (2016, background): “Recently, Xiao et al. (2007), Gao (2009a, 2009b) investigated an optimal asset allocation problem for a defined contribution pension plan under the CEV model.”