1 citations · 1 across the 1 of their papers we have counts for
2 papers
econ.GN2021★ 1 cited
Intergenerational risk sharing in a Defined Contribution pension system: analysis with Bayesian optimization
An Chen, Motonobu Kanagawa, Fangyuan Zhang
We study a fully funded, collective defined-contribution (DC) pension system with multiple overlapping generations. We investigate whether the welfare of participants can be improv…
math.OC2020
On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization
An Chen, Mitja Stadje, Fangyuan Zhang
We study a non-concave optimization problem in which a financial company maximizes the expected utility of the surplus under a risk-based regulatory constraint. For this problem, w…