Time-consistent strategies between two competitive DC pension plans with the return of premiums clauses and salary risk-Reference-Cited by-同舟云学术

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Time-consistent strategies between two competitive DC pension plans with the return of premiums clauses and salary risk

Published:2023-11-02 Issue: Volume: Page:1-22
ISSN:0361-0926
Container-title:Communications in Statistics - Theory and Methods
language:en
Short-container-title:Communications in Statistics - Theory and Methods

Author:

Nie Gaoqin¹,Chen Xingjiang²,Chang Hao³

Affiliation:

1. School of Statistics, Capital University of Economics and Business, Beijing, China

2. School of Engineering, Computer and Mathematical Sciences, Auckland University of Technology, Auckland, New Zealand

3. School of Mathematical Sciences, Tiangong University, Tianjin, China

Funder

the National Social Science Foundation of China

Publisher

Informa UK Limited

Subject

Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610926.2023.2273207

Reference35 articles.

1. Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty

2. A class of non-zero-sum stochastic differential investment and reinsurance games

3. Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause

4. Björk T. and A. Murgoci. 2010. A general theory of markovian time inconsistent stochastic control problems. Working Paper Stockholm School of Economics.Available at: http://ssrn.com/abstract=1694759.

5. The valuation of options for alternative stochastic processes

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Optimal Investment for Defined-Contribution Pension Plans with the Return of Premium Clause under Partial Information;Mathematics;2024-07-07

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