2003
DOI: 10.1016/s0167-6687(03)00136-7
|View full text |Cite
|
Sign up to set email alerts
|

Stochastic optimal control of annuity contracts

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...
3
1
1

Citation Types

2
98
0
2

Year Published

2012
2012
2024
2024

Publication Types

Select...
6
2
1

Relationship

0
9

Authors

Journals

citations
Cited by 87 publications
(102 citation statements)
references
References 15 publications
2
98
0
2
Order By: Relevance
“…The literature on the accumulation phase of defined contribution pension schemes is full of examples of optimal investment strategies resulting from EU maximization. See, for instance, Boulier, Huang & Taillard (2001), Haberman & Vigna (2002), Deelstra, Grasselli & Koehl (2003), Devolder, Bosch Princep & Dominguez Fabian (2003), Battocchio & Menoncin (2004), Cairns, Blake & Dowd (2006), Xiao, Zhai & Qin (2007), Gao (2008), Di Giacinto, Federico & Gozzi (2011).…”
Section: Introductionmentioning
confidence: 99%
“…The literature on the accumulation phase of defined contribution pension schemes is full of examples of optimal investment strategies resulting from EU maximization. See, for instance, Boulier, Huang & Taillard (2001), Haberman & Vigna (2002), Deelstra, Grasselli & Koehl (2003), Devolder, Bosch Princep & Dominguez Fabian (2003), Battocchio & Menoncin (2004), Cairns, Blake & Dowd (2006), Xiao, Zhai & Qin (2007), Gao (2008), Di Giacinto, Federico & Gozzi (2011).…”
Section: Introductionmentioning
confidence: 99%
“…Por ejemplo, Devolder et al (2003) derivan múltiples estrategias óptimas para diferentes funciones de utilidad. Bajo las mismas condiciones, la eficiencia de la estrategia media-varianza en planes de pensiones DC es estudiada en Vigna et al (2014).…”
Section: Comisión Por Saldounclassified
“…Here, we note that if the elasticity parameter θ is zero, then σ θ becomes the constant σ 0 and (4.23) reduces to the optimal strategy corresponding to the Black-Scholes model, where risky asset price evolves with a geometric Brownian motion. Indeed, this is given by the classical (original) Merton coefficient (see Devolder et al [12]) as follows:…”
Section: Corrected Merton Strategiesmentioning
confidence: 99%
“…On the other hand, there is much literature about DC pension plans. See Boulier et al [3], Haberman and Vigna [19], Devolder et al [12] and Deelstra et al [11] to name a few. But these studies have assumed to take the geometric Brownian motion with constant volatility (the Black-Scholes model) for an underlying asset price model.…”
Section: Introductionmentioning
confidence: 99%