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Volumn 41, Issue 1, 2007, Pages 134-155

Management of a pension fund under mortality and financial risks

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EID: 34247531503     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2006.10.014     Document Type: Article
Times cited : (18)

References (18)
  • 1
    • 0010985240 scopus 로고    scopus 로고
    • Optimal management under stochastic interest rates: The case of a protected defined contribution pension fund
    • Boulier J.F., Huang S., and Taillard G. Optimal management under stochastic interest rates: The case of a protected defined contribution pension fund. Insurance: Mathematics and Economics 28 (2001) 173-189
    • (2001) Insurance: Mathematics and Economics , vol.28 , pp. 173-189
    • Boulier, J.F.1    Huang, S.2    Taillard, G.3
  • 2
    • 34247521471 scopus 로고    scopus 로고
    • Biffis, E., Denuit, M., Devolder, P., 2005. Stochastic mortality under measure changes. Discussion Paper PI-0512 The Pensions Institute, Cass Business School
  • 4
    • 0002720622 scopus 로고
    • Optimal consumption and portfolio policies when asset prices follow a diffusion process
    • Cox J., and Huang C.F. Optimal consumption and portfolio policies when asset prices follow a diffusion process. Journal of Economic Theory 49 (1989) 33-83
    • (1989) Journal of Economic Theory , vol.49 , pp. 33-83
    • Cox, J.1    Huang, C.F.2
  • 10
    • 34247520156 scopus 로고    scopus 로고
    • Hainaut, D., Devolder, P., 2006. A martingale approach applied to the management of life insurances. Working Paper. Institute of Actuarial Sciences UCL
  • 13
    • 0036338113 scopus 로고    scopus 로고
    • A stochastic control approach to portfolio problems with stochastic interest rates
    • Korn R., and Kraft H. A stochastic control approach to portfolio problems with stochastic interest rates. SIAM Journal on Control and Optimization 40-4 (2001) 1250-1269
    • (2001) SIAM Journal on Control and Optimization , vol.40-4 , pp. 1250-1269
    • Korn, R.1    Kraft, H.2
  • 14
    • 85015653419 scopus 로고    scopus 로고
    • Optimal asset management for pension funds
    • Menoncin F., and Scaillet O. Optimal asset management for pension funds. Managerial Finance 32 4 (2006) 347-374
    • (2006) Managerial Finance , vol.32 , Issue.4 , pp. 347-374
    • Menoncin, F.1    Scaillet, O.2
  • 15
    • 0000314740 scopus 로고
    • Lifetime portfolio selection under uncertainty: The continuous-time case
    • Merton R. Lifetime portfolio selection under uncertainty: The continuous-time case. Review of Economics and Statistics 51 (1969) 247-257
    • (1969) Review of Economics and Statistics , vol.51 , pp. 247-257
    • Merton, R.1
  • 16
    • 0011090049 scopus 로고
    • Optimum consumption and portfolio rules in a continuous-time model
    • Merton R. Optimum consumption and portfolio rules in a continuous-time model. Journal of Economic Theory 3 (1971) 373-413
    • (1971) Journal of Economic Theory , vol.3 , pp. 373-413
    • Merton, R.1
  • 17
    • 85011436156 scopus 로고    scopus 로고
    • Risk minimizing hedging strategies for unit-linked life insurance contracts
    • Møller T. Risk minimizing hedging strategies for unit-linked life insurance contracts. ASTIN Bulletin 28-1 (1998) 17-47
    • (1998) ASTIN Bulletin , vol.28-1 , pp. 17-47
    • Møller, T.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.