Asset Liability Management Problem of a Pension Fund within Cox-Ingersoll-Ross Interest Rate Model and Mortality Risk Framework
碩士 === 國立高雄第一科技大學 === 風險管理與保險系碩士班 === 105 === In this study, an asset-liability management (ALM) problem of a pension fund is studied by finding out the optimal dynamic allocation of the assets and liabilities with the considerations of mortality risk and a dividend policy under the Cox-Ingersoll-Ro...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2017
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| Online Access: | http://ndltd.ncl.edu.tw/handle/535298 |