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Titel:

Dynamic Surplus Optimization with Performance- and Index-Linked Liabilities

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Desmettre S.; Wahl M.; Zagst R.
Nicht-TUM Koautoren:
nein
Kooperation:
-
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
Zeitschriftentitel:
European Actuarial Journal
Journal gelistet in FT50 Ranking:
nein
Jahr:
2021
Volltext / DOI:
doi:10.1007/s13385-021-00292-z
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Ja
International:
Nein
commissioned:
not commissioned
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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