User: Guest  Login
Title:

Dynamic Surplus Optimization with Performance- and Index-Linked Liabilities

Document type:
Zeitschriftenaufsatz
Author(s):
Desmettre S.; Wahl M.; Zagst R.
Non-TUM Co-author(s):
nein
Cooperation:
-
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
Fulltext / DOI:
doi:10.1007/s13385-021-00292-z
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Ja
International:
Nein
Commissioned:
not commissioned
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
 BibTeX
versions