Browsing Statistics and Actuarial Science by Subject "DC pension plan"
Now showing items 1-2 of 2
-
Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
(Elsevier, 2018-03-01)This paper provides a derivative-based optimal investment strategy for an ambiguity-adverse pension investor who faces not only risks from time-varying income and market return volatility but also uncertain economic ... -
Individual insurance choice: A stochastic control approach
(University of Waterloo, 2023-02-28)This thesis applies the stochastic control approach to study the optimal insurance strategy for three problems. The first problem studies the optimal non-life insurance for an individual exhibiting internal habit formation ...