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On the interface between optimal periodic and continuous dividend strategies in the presence of transaction costs

Recurso electrónico / Electronic resource
Registro MARC
Tag12Valor
LDR  00000cab a2200000 4500
001  MAP20160032482
003  MAP
005  20161123172415.0
008  161103e20160901bel|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
100  ‎$0‎MAPA20090029927‎$a‎Avanzi, Benjamin
24510‎$a‎On the interface between optimal periodic and continuous dividend strategies in the presence of transaction costs‎$c‎Benjamin Avanzi, Vicent Tu and Bernard Wong
520  ‎$a‎The notional defined contribution pension scheme combines pay-as-you-go financing and a defined contribution pension formula. The return on contributions is based on an index set by law, such as the growth rate of GDP, average wages or contribution payments. The volatility of this return compromises the system's pension adequacy and therefore guarantees may be needed. Here, we provide a minimum return guarantee to the pension contributions. The price is calculated in a utility indifference framework. We obtain a closed-form solution for a general dependence structure with exponential preferences and in presence of stochastic short interest rates.
7001 ‎$0‎MAPA20160014303‎$a‎Tu, Vicent
7001 ‎$0‎MAPA20160009811‎$a‎Wong, Bernard
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎01/09/2016 Volumen 46 Número 3 - septiembre 2016 , p. 677-707