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 PDF BibTeX XML Cite \textit{Y. Dong} and \textit{H. Zheng}, Eur. J. Oper. Res. 281, No. 2, 341--356 (2020; Zbl 1431.91358) Full Text: DOI
Zhang, Xiaoyi Optimal management of defined contribution pension plan with investment and reinsurance. (English) Zbl 1424.91070 Acta Sci. Nat. Univ. Nankaiensis 51, No. 5, 66-70 (2018). MSC: 91B30 93E20 90C39 PDF BibTeX XML Cite \textit{X. Zhang}, Acta Sci. Nat. Univ. Nankaiensis 51, No. 5, 66--70 (2018; Zbl 1424.91070)
Temocin, Busra Zeynep; Korn, Ralf; Selcuk-Kestel, A. Sevtap Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading. (English) Zbl 1404.91147 Ann. Oper. Res. 260, No. 1-2, 515-544 (2018). MSC: 91B30 PDF BibTeX XML Cite \textit{B. Z. Temocin} et al., Ann. Oper. Res. 260, No. 1--2, 515--544 (2018; Zbl 1404.91147) Full Text: DOI
Tang, Mei-Ling; Chen, Son-Nan; Lai, Gene C.; Wu, Ting-Pin Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee. (English) Zbl 1398.91355 Insur. Math. Econ. 78, 87-104 (2018). MSC: 91B30 91G30 90C15 90C39 PDF BibTeX XML Cite \textit{M.-L. Tang} et al., Insur. Math. Econ. 78, 87--104 (2018; Zbl 1398.91355) Full Text: DOI
Guan, Guohui; Liang, Zongxia A stochastic Nash equilibrium portfolio game between two DC pension funds. (English) Zbl 1371.91156 Insur. Math. Econ. 70, 237-244 (2016). MSC: 91G10 91B30 91A15 93E20 PDF BibTeX XML Cite \textit{G. Guan} and \textit{Z. Liang}, Insur. Math. Econ. 70, 237--244 (2016; Zbl 1371.91156) Full Text: DOI
Guan, Guohui; Liang, Zongxia Optimal management of DC pension plan under loss aversion and value-at-risk constraints. (English) Zbl 1369.91197 Insur. Math. Econ. 69, 224-237 (2016). MSC: 91G70 91G10 93E20 PDF BibTeX XML Cite \textit{G. Guan} and \textit{Z. Liang}, Insur. Math. Econ. 69, 224--237 (2016; Zbl 1369.91197) Full Text: DOI
Li, Danping; Rong, Ximin; Zhao, Hui Time-consistent investment strategy for DC pension plan with stochastic salary under CEV model. (English) Zbl 1414.91213 J. Syst. Sci. Complex. 29, No. 2, 428-454 (2016). MSC: 91B30 PDF BibTeX XML Cite \textit{D. Li} et al., J. Syst. Sci. Complex. 29, No. 2, 428--454 (2016; Zbl 1414.91213) Full Text: DOI
Sun, Jingyun; Li, Zhongfei; Zeng, Yan Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model. (English) Zbl 1348.91261 Insur. Math. Econ. 67, 158-172 (2016). MSC: 91G10 60J75 91B30 93E20 PDF BibTeX XML Cite \textit{J. Sun} et al., Insur. Math. Econ. 67, 158--172 (2016; Zbl 1348.91261) Full Text: DOI
Guan, Guohui; Liang, Zongxia Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns. (English) Zbl 1318.91115 Insur. Math. Econ. 61, 99-109 (2015). Reviewer: Tak Kuen Siu (Sydney) MSC: 91B30 91G10 60H30 91G30 93E20 PDF BibTeX XML Cite \textit{G. Guan} and \textit{Z. Liang}, Insur. Math. Econ. 61, 99--109 (2015; Zbl 1318.91115) Full Text: DOI
Blake, David; Wright, Douglas; Zhang, Yumeng 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 J. Econ. Dyn. Control 38, 105-124 (2014). MSC: 90C39 91B30 PDF BibTeX XML Cite \textit{D. Blake} et al., J. Econ. Dyn. Control 38, 105--124 (2014; Zbl 1402.90200) Full Text: DOI
Guan, Guohui; Liang, Zongxia Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework. (English) Zbl 1304.91193 Insur. Math. Econ. 57, 58-66 (2014). MSC: 91G10 91G30 93E20 90C15 90C39 91B70 PDF BibTeX XML Cite \textit{G. Guan} and \textit{Z. Liang}, Insur. Math. Econ. 57, 58--66 (2014; Zbl 1304.91193) Full Text: DOI
Blake, David; Wright, Douglas; Zhang, Yumeng Target-driven investing: optimal investment strategies in defined contribution pension plans under loss aversion. (English) Zbl 1345.91067 J. Econ. Dyn. Control 37, No. 1, 195-209 (2013). MSC: 91G10 91B30 PDF BibTeX XML Cite \textit{D. Blake} et al., J. Econ. Dyn. Control 37, No. 1, 195--209 (2013; Zbl 1345.91067) Full Text: DOI
Nkeki, Charles I. Mean-variance portfolio selection problem with time-dependent salary for defined contribution pension scheme. (English) Zbl 1309.91135 Financ. Math. Appl. 2, No. 1, 1-26 (2013). MSC: 91G10 91B30 93E20 PDF BibTeX XML Cite \textit{C. I. Nkeki}, Financ. Math. Appl. 2, No. 1, 1--26 (2013; Zbl 1309.91135) Full Text: Link
He, Lin; Liang, Zongxia Optimal dynamic asset allocation strategy for ELA scheme of DC pension plan during the distribution phase. (English) Zbl 1284.91521 Insur. Math. Econ. 52, No. 2, 404-410 (2013). MSC: 91G10 91B30 93E20 PDF BibTeX XML Cite \textit{L. He} and \textit{Z. Liang}, Insur. Math. Econ. 52, No. 2, 404--410 (2013; Zbl 1284.91521) Full Text: DOI
Zhang, Chubing; Rong, Ximin; Zhao, Hui; Hou, Rujing Optimal investment for the defined-contribution pension with stochastic salary under a CEV model. (English) Zbl 1299.91133 Appl. Math., Ser. B (Engl. Ed.) 28, No. 2, 187-203 (2013). MSC: 91G10 91G80 60H30 PDF BibTeX XML Cite \textit{C. Zhang} et al., Appl. Math., Ser. B (Engl. Ed.) 28, No. 2, 187--203 (2013; Zbl 1299.91133) Full Text: DOI
Gu, Ailing; Li, Zhongfei; Zeng, Yan An optimal investment strategy under Ornstein-Uhlenbeck model for a DC pension plan. (Chinese. English summary) Zbl 1299.91119 Acta Math. Appl. Sin. 36, No. 4, 715-726 (2013). MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{A. Gu} et al., Acta Math. Appl. Sin. 36, No. 4, 715--726 (2013; Zbl 1299.91119)
Han, Nan-Wei; Hung, Mao-Wei Optimal asset allocation for DC pension plans under inflation. (English) Zbl 1284.91520 Insur. Math. Econ. 51, No. 1, 172-181 (2012). MSC: 91G10 91B30 90C39 90C15 PDF BibTeX XML Cite \textit{N.-W. Han} and \textit{M.-W. Hung}, Insur. Math. Econ. 51, No. 1, 172--181 (2012; Zbl 1284.91520) Full Text: DOI
Ma, Qing-Ping On “optimal pension management in a stochastic framework” with exponential utility. (English) Zbl 1218.91088 Insur. Math. Econ. 49, No. 1, 61-69 (2011). MSC: 91B30 91G50 93E20 91G10 PDF BibTeX XML Cite \textit{Q.-P. Ma}, Insur. Math. Econ. 49, No. 1, 61--69 (2011; Zbl 1218.91088) Full Text: DOI
MacDonald, Bonnie-Jeanne; Cairns, Andrew J. G. Three retirement decision models for defined contribution pension plan members: a simulation study. (English) Zbl 1218.91089 Insur. Math. Econ. 48, No. 1, 1-18 (2011). MSC: 91B30 91B06 PDF BibTeX XML Cite \textit{B.-J. MacDonald} and \textit{A. J. G. Cairns}, Insur. Math. Econ. 48, No. 1, 1--18 (2011; Zbl 1218.91089) Full Text: DOI
Gao, Jianwei An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts. (English) Zbl 1231.91432 Insur. Math. Econ. 46, No. 3, 511-530 (2010). MSC: 91G20 91G70 60H30 93E20 PDF BibTeX XML Cite \textit{J. Gao}, Insur. Math. Econ. 46, No. 3, 511--530 (2010; Zbl 1231.91432) Full Text: DOI
Gao, Jianwei Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model. (English) Zbl 1231.91402 Insur. Math. Econ. 45, No. 1, 9-18 (2009). MSC: 91G10 91G80 93E20 PDF BibTeX XML Cite \textit{J. Gao}, Insur. Math. Econ. 45, No. 1, 9--18 (2009; Zbl 1231.91402) Full Text: DOI
Gao, Jianwei Optimal portfolios for DC pension plans under a CEV model. (English) Zbl 1162.91411 Insur. Math. Econ. 44, No. 3, 479-490 (2009). MSC: 91B30 91B28 93E99 PDF BibTeX XML Cite \textit{J. Gao}, Insur. Math. Econ. 44, No. 3, 479--490 (2009; Zbl 1162.91411) Full Text: DOI
Xiao, Jianwu; Hong, Zhai; Qin, Chenglin The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts. (English) Zbl 1141.91473 Insur. Math. Econ. 40, No. 2, 302-310 (2007). MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{J. Xiao} et al., Insur. Math. Econ. 40, No. 2, 302--310 (2007; Zbl 1141.91473) Full Text: DOI
Xiao, Jian-Wu; Yin, Shao-Hua; Qin, Cheng-Lin Constant elasticity of variance model and analytical strategies for annuity contracts. (English) Zbl 1231.91449 Appl. Math. Mech., Engl. Ed. 27, No. 11, 1499-1506 (2006). MSC: 91G20 91B40 PDF BibTeX XML Cite \textit{J.-W. Xiao} et al., Appl. Math. Mech., Engl. Ed. 27, No. 11, 1499--1506 (2006; Zbl 1231.91449) Full Text: DOI
Booth, Philip; Chadburn, Robert; Haberman, Steven; James, Dewi; Khorasanee, Zaki; Plumb, Robert H.; Rickayzen, Ben Modern actuarial theory and practice. 2nd ed. (English) Zbl 1076.62107 Boca Raton, FL: Chapman & Hall/CRC (ISBN 1-58488-368-5/hbk). xxxiii, 799 p. (2005). Reviewer: Elias Shiu (Iowa City) MSC: 62P05 91B30 62-01 PDF BibTeX XML Cite \textit{P. Booth} et al., Modern actuarial theory and practice. 2nd ed. Boca Raton, FL: Chapman \& Hall/CRC (2005; Zbl 1076.62107)
Battocchio, Paolo; Menoncin, Francesco Optimal pension management in a stochastic framework. (English) Zbl 1068.91028 Insur. Math. Econ. 34, No. 1, 79-95 (2004). MSC: 91G10 90B15 93E20 PDF BibTeX XML Cite \textit{P. Battocchio} and \textit{F. Menoncin}, Insur. Math. Econ. 34, No. 1, 79--95 (2004; Zbl 1068.91028) Full Text: DOI
Blake, David Take (smoothed) risks when you are young, not when you are old: how to get the best from your pension plan. (English) Zbl 1106.91321 IMA J. Manag. Math. 14, No. 2, 145-161 (2003). MSC: 91B28 91B30 PDF BibTeX XML Cite \textit{D. Blake}, IMA J. Manag. Math. 14, No. 2, 145--161 (2003; Zbl 1106.91321) Full Text: DOI
Blake, David; Cairns, Andrew J. G.; Dowd, Kevin Pensionmetrics 2: Stochastic pension plan design during the distribution phase. (English) Zbl 1043.62086 Insur. Math. Econ. 33, No. 1, 29-47 (2003). MSC: 62P05 91B30 PDF BibTeX XML Cite \textit{D. Blake} et al., Insur. Math. Econ. 33, No. 1, 29--47 (2003; Zbl 1043.62086) Full Text: DOI
Blake, David; Cairns, Andrew J. G.; Dowd, Kevin Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase. (English) Zbl 0989.62057 Insur. Math. Econ. 29, No. 2, 187-215 (2001). MSC: 62P05 PDF BibTeX XML Cite \textit{D. Blake} et al., Insur. Math. Econ. 29, No. 2, 187--215 (2001; Zbl 0989.62057) Full Text: DOI