We generalize the idea of semi-self-financing strategies, originally discussed in Ehrbar
(1990), and later formalized in Cui et al (2012), for the pre-commitment mean-variance (MV) …

In defined contribution (DC) pension schemes, the financial risk borne by the member
occurs during the accumulation phase. To build up sufficient funds for retirement, scheme …

This paper investigates an asset allocation problem for defined contribution pension funds
with stochastic income and mortality risk under a multi-period mean–variance framework …

We present efficient partial differential equation methods for continuous time mean‐variance
portfolio allocation problems when the underlying risky asset follows a jump‐diffusion. The …

To identify an appropriate pension de-risking method, this paper proposes an optimization
model that minimizes the expected total pension cost subject to a conditional value at risk …

The paper studies the optimal asset allocation problem of a defined benefit pension plan
that operates in a financial market composed of risky assets whose prices are constant …

We consider a collective insurance risk model with a compound Cox claim process, in which
the evolution of a claim intensity is described by a stochastic differential equation driven by a …

This article proposes a model for a defined benefit pension plan to minimize total funding
variation while controlling expected total pension cost and funding downside risk throughout …

We solve a mean-variance portfolio selection problem in the accumulation phase of a
defined contribution pension scheme. The efficient frontier, which is found for the 2 asset …

We solve the consumption/investment problem of an agent facing a stochastic mortality
intensity. The investment set includes a longevity-linked asset, as a derivative on the force of …