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- W841952077 abstract "Abstract In this paper, we consider the optimal dynamic asset allocation of pension fund with mortality risk and salary risk. The managers of the pension fund try to find the optimal investment policy (optimal asset allocation) to maximize the expected utility of terminal wealth. The market is a combination of financial market and insurance market. The financial market consists of three assets: cashes with stochastic interest rate, stocks and rolling bonds, while the insurance market consists of mortality risk and salary risk. These two non-hedging risks cause incompleteness of the market. By martingale method and dynamic programming principle we first derive the approximate optimal investment policy to overcome the difficulty, then investigate the efficiency of the approximation. Finally, we solve an optimal assets liabilities management(ALM) problem with mortality risk and salary risk under CRRA utility, and reveal the influence of these two risks on the optimal investment policy by numerical illustration." @default.
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- W841952077 date "2015-09-01" @default.
- W841952077 modified "2023-09-29" @default.
- W841952077 title "Optimal dynamic asset allocation of pension fund in mortality and salary risks framework" @default.
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- W841952077 doi "https://doi.org/10.1016/j.insmatheco.2015.05.008" @default.
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