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Document type:
Zeitschriftenaufsatz 
Author(s):
DESMETTRE S., WAHL M. and R. ZAGST 
Non-TUM Co-author(s):
nein 
Cooperation:
Title:
Dynamic Surplus Optimization with Performance- and Index-Linked Liabilities 
Abstract:
The increasing importance of liability-driven investment strategies and the shift towards retirement products with lower guarantees and more performance participation provide challenges for the development of portfolio optimization frameworks which cover these aspects. To this end, we establish a general and flexible terminal surplus optimization framework in continuous time, allowing for dynamic investment strategies and stochastic liabilities, which can be linked to the performance of an index...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
European Actuarial Journal 
Journal listet in FT50 ranking:
nein 
Year:
2021 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Nein 
Commissioned:
not commissioned 
Technology:
Nein 
Interdisciplinarity:
Nein 
Mission statement:
Ethics and Sustainability:
Nein