This paper brings together the academic literature on individual and institutional investors in
order to understand the nature of difficulties faced by them and set the background for the …

In this paper we study the optimal management of an aggregated pension fund of defined
benefit type, in the presence of a stochastic interest rate. We suppose that the sponsor can …

In this paper we study the problem of simultaneous minimization of risks, and maximization
of the terminal value of expected funds assets in a stochastic defined benefit aggregated …

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 …

Quantitative finance has become these last years a extraordinary field of research and
interest as well from an academic point of view as for practical applications. At the same …

This paper focuses on an asset-liability management problem for an investor who can invest
in a risk-free asset and a risky asset whose price process is governed by the Heston model …

In this paper, we study the optimal management of an aggregated pension fund of defined
benefit type by means of a differential game with two players, the firm and the participants …

We solve the optimal asset allocation problem for an insurer or pension fund by using a
benchmarking approach. Under this approach the objective is an increasing function of the …

In this paper, we address the issue of determining the optimal contribution rate of a defined
benefit pension fund. The affiliate's mortality is modelled by a jump process and the benefits …

To control downside risk of a defined benefit pension plan arising from unexpected mortality
improvements and severe market turbulence, this article proposes an optimization model by …