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On the Investment Strategies in Occupational Pension Plans
Demographic changes increase the necessity to base the pension system more and more on the second and the third pillar, namely the occupational and private pension plans; this paper deals with Target Date Funds (TDFs), which are a typical investment opportunity for occupational pension planners.
Robustness of Delta Hedging in a Jump-Diffusion Model
If the misspecified volatility and jump sensitivity dominate the true ones, we show that following the misspecified Delta strategy does super-replicate $h(S(T))$ in expectation among a wide collection of models.
Mean-variance hedging of unit linked life insurance contracts in a jump-diffusion model
We prove that the equilibrium is necessarily a solution of the extended HJB system.
