Agarwal, Ankush; Ewald, Christian-Oliver; Wang, Yongjie Hedging longevity risk in defined contribution pension schemes. (English) Zbl 07778014 Comput. Manag. Sci. 20, Paper No. 11, 34 p. (2023). MSC: 90Bxx PDFBibTeX XMLCite \textit{A. Agarwal} et al., Comput. Manag. Sci. 20, Paper No. 11, 34 p. (2023; Zbl 07778014) Full Text: DOI arXiv
Bi, Xiuchun; Cui, Zhenyu; Fan, Jiacheng; Yuan, Lvning; Zhang, Shuguang Optimal investment problem under behavioral setting: a Lagrange duality perspective. (English) Zbl 1526.91023 J. Econ. Dyn. Control 156, Article ID 104751, 31 p. (2023). MSC: 91G10 93E20 91B16 PDFBibTeX XMLCite \textit{X. Bi} et al., J. Econ. Dyn. Control 156, Article ID 104751, 31 p. (2023; Zbl 1526.91023) Full Text: DOI
Dehm, Christian; Nguyen, Thai; Stadje, Mitja Non-concave expected utility optimization with uncertain time horizon. (English) Zbl 07730266 Appl. Math. Optim. 88, No. 2, Paper No. 65, 39 p. (2023). MSC: 91G10 91B16 93E20 PDFBibTeX XMLCite \textit{C. Dehm} et al., Appl. Math. Optim. 88, No. 2, Paper No. 65, 39 p. (2023; Zbl 07730266) Full Text: DOI arXiv
Zhang, Fangyuan Non-concave portfolio optimization with average value-at-risk. (English) Zbl 1520.91379 Math. Financ. Econ. 17, No. 2, 203-237 (2023). MSC: 91G10 91G70 90C90 PDFBibTeX XMLCite \textit{F. Zhang}, Math. Financ. Econ. 17, No. 2, 203--237 (2023; Zbl 1520.91379) Full Text: DOI
Escobar-Anel, Marcos; Havrylenko, Yevhen; Kschonnek, Michel; Zagst, Rudi Decrease of capital guarantees in life insurance products: can reinsurance stop it? (English) Zbl 1492.91287 Insur. Math. Econ. 105, 14-40 (2022). MSC: 91G05 91G10 91G70 PDFBibTeX XMLCite \textit{M. Escobar-Anel} et al., Insur. Math. Econ. 105, 14--40 (2022; Zbl 1492.91287) Full Text: DOI arXiv
MacKay, Anne; Ocejo, Adriana Portfolio optimization with a guaranteed minimum maturity benefit and risk-adjusted fees. (English) Zbl 1489.91225 Methodol. Comput. Appl. Probab. 24, No. 2, 1021-1049 (2022). MSC: 91G05 91G10 93E20 49J55 PDFBibTeX XMLCite \textit{A. MacKay} and \textit{A. Ocejo}, Methodol. Comput. Appl. Probab. 24, No. 2, 1021--1049 (2022; Zbl 1489.91225) Full Text: DOI
Hieber, Peter; Lucas, Nathalie Modern life-care tontines. (English) Zbl 1492.91296 ASTIN Bull. 52, No. 2, 563-589 (2022). MSC: 91G05 PDFBibTeX XMLCite \textit{P. Hieber} and \textit{N. Lucas}, ASTIN Bull. 52, No. 2, 563--589 (2022; Zbl 1492.91296) Full Text: DOI
Hanna, Vanessa; Hieber, Peter; Devolder, Pierre Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy. (English) Zbl 1492.91294 Scand. Actuar. J. 2022, No. 5, 421-446 (2022). MSC: 91G05 91B16 PDFBibTeX XMLCite \textit{V. Hanna} et al., Scand. Actuar. J. 2022, No. 5, 421--446 (2022; Zbl 1492.91294) Full Text: DOI Link
Escobar-Anel, Marcos; Wahl, Markus; Zagst, Rudi Portfolio optimization with wealth-dependent risk constraints. (English) Zbl 1490.91173 Scand. Actuar. J. 2022, No. 3, 244-268 (2022). MSC: 91G05 91G10 PDFBibTeX XMLCite \textit{M. Escobar-Anel} et al., Scand. Actuar. J. 2022, No. 3, 244--268 (2022; Zbl 1490.91173) Full Text: DOI
Chen, Chang-Chih; Chang, Chia-Chien; Sun, Edward W.; Yu, Min-Teh Optimal decision of dynamic wealth allocation with life insurance for mitigating health risk under market incompleteness. (English) Zbl 1495.91101 Eur. J. Oper. Res. 300, No. 2, 727-742 (2022). MSC: 91G05 91G10 PDFBibTeX XMLCite \textit{C.-C. Chen} et al., Eur. J. Oper. Res. 300, No. 2, 727--742 (2022; Zbl 1495.91101) Full Text: DOI
Reichel, Lukas; Schmeiser, Hato; Schreiber, Florian Sometimes more, sometimes less: prudence and the diversification of risky insurance coverage. (English) Zbl 1487.91104 Eur. J. Oper. Res. 292, No. 2, 770-783 (2021). MSC: 91G05 PDFBibTeX XMLCite \textit{L. Reichel} et al., Eur. J. Oper. Res. 292, No. 2, 770--783 (2021; Zbl 1487.91104) Full Text: DOI Link
Liu, Haibo; Tang, Qihe; Yuan, Zhongyi Indifference pricing of insurance-linked securities in a multi-period model. (English) Zbl 1487.91140 Eur. J. Oper. Res. 289, No. 2, 793-805 (2021). MSC: 91G20 91G05 93E20 PDFBibTeX XMLCite \textit{H. Liu} et al., Eur. J. Oper. Res. 289, No. 2, 793--805 (2021; Zbl 1487.91140) Full Text: DOI
Liang, Zongxia; Liu, Yang A classification approach to general s-shaped utility optimization with principals’ constraints. (English) Zbl 1454.91124 SIAM J. Control Optim. 58, No. 6, 3734-3762 (2020). MSC: 91B43 91G15 91B16 PDFBibTeX XMLCite \textit{Z. Liang} and \textit{Y. Liu}, SIAM J. Control Optim. 58, No. 6, 3734--3762 (2020; Zbl 1454.91124) Full Text: DOI
He, Lin; Liang, Zongxia; Liu, Yang; Ma, Ming Weighted utility optimization of the participating endowment contract. (English) Zbl 1448.91260 Scand. Actuar. J. 2020, No. 7, 577-613 (2020). MSC: 91G05 91B16 93E20 PDFBibTeX XMLCite \textit{L. He} et al., Scand. Actuar. J. 2020, No. 7, 577--613 (2020; Zbl 1448.91260) Full Text: DOI
Nguyen, Thai; Stadje, Mitja Nonconcave optimal investment with value-at-risk constraint: an application to life insurance contracts. (English) Zbl 1433.91142 SIAM J. Control Optim. 58, No. 2, 895-936 (2020). MSC: 91G05 93E20 91G70 PDFBibTeX XMLCite \textit{T. Nguyen} and \textit{M. Stadje}, SIAM J. Control Optim. 58, No. 2, 895--936 (2020; Zbl 1433.91142) Full Text: DOI Link
Dong, Yinghui; Zheng, Harry Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan. (English) Zbl 1431.91358 Eur. J. Oper. Res. 281, No. 2, 341-356 (2020). MSC: 91G10 91G05 93E20 PDFBibTeX XMLCite \textit{Y. Dong} and \textit{H. Zheng}, Eur. J. Oper. Res. 281, No. 2, 341--356 (2020; Zbl 1431.91358) Full Text: DOI Link