Forsyth, Peter A. Short term decumulation strategies for underspending retirees. (English) Zbl 07487246 Insur. Math. Econ. 102, 56-74 (2022). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{P. A. Forsyth}, Insur. Math. Econ. 102, 56--74 (2022; Zbl 07487246) Full Text: DOI OpenURL
Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham Optimal control of the decumulation of a retirement portfolio with variable spending and dynamic asset allocation. (English) Zbl 1476.65280 ASTIN Bull. 51, No. 3, 905-938 (2021). MSC: 65N06 65N12 35Q93 91G05 PDF BibTeX XML Cite \textit{P. A. Forsyth} et al., ASTIN Bull. 51, No. 3, 905--938 (2021; Zbl 1476.65280) Full Text: DOI arXiv OpenURL
Van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A. Practical investment consequences of the scalarization parameter formulation in dynamic mean-variance portfolio optimization. (English) Zbl 1471.91516 Int. J. Theor. Appl. Finance 24, No. 5, Article ID 2150029, 49 p. (2021). MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{P. M. Van Staden} et al., Int. J. Theor. Appl. Finance 24, No. 5, Article ID 2150029, 49 p. (2021; Zbl 1471.91516) Full Text: DOI OpenURL
Forsyth, Peter A. Two stage decumulation strategies for dc plan investors. (English) Zbl 1466.91256 Int. J. Theor. Appl. Finance 24, No. 1, Article ID 2150007, 31 p. (2021). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{P. A. Forsyth}, Int. J. Theor. Appl. Finance 24, No. 1, Article ID 2150007, 31 p. (2021; Zbl 1466.91256) Full Text: DOI OpenURL
van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A. On the distribution of terminal wealth under dynamic mean-variance optimal investment strategies. (English) Zbl 1465.91102 SIAM J. Financ. Math. 12, No. 2, 566-603 (2021). MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{P. M. van Staden} et al., SIAM J. Financ. Math. 12, No. 2, 566--603 (2021; Zbl 1465.91102) Full Text: DOI OpenURL
Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham Optimal asset allocation for DC pension decumulation with a variable spending rule. (English) Zbl 1447.91138 ASTIN Bull. 50, No. 2, 419-447 (2020). MSC: 91G05 93E20 35R09 PDF BibTeX XML Cite \textit{P. A. Forsyth} et al., ASTIN Bull. 50, No. 2, 419--447 (2020; Zbl 1447.91138) Full Text: DOI OpenURL
Forsyth, Peter A. Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR. (English) Zbl 1447.91137 Insur. Math. Econ. 93, 230-245 (2020). MSC: 91G05 91G10 91G70 PDF BibTeX XML Cite \textit{P. A. Forsyth}, Insur. Math. Econ. 93, 230--245 (2020; Zbl 1447.91137) Full Text: DOI OpenURL
Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham Management of portfolio depletion risk through optimal life cycle asset allocation. (English) Zbl 1426.91218 N. Am. Actuar. J. 23, No. 3, 447-468 (2019). MSC: 91G05 91G10 93E20 PDF BibTeX XML Cite \textit{P. A. Forsyth} et al., N. Am. Actuar. J. 23, No. 3, 447--468 (2019; Zbl 1426.91218) Full Text: DOI OpenURL
Azimzadeh, Parsiad; Forsyth, Peter A.; Vetzal, Kenneth R. Hedging costs for variable annuities under regime-switching. (English) Zbl 1418.91228 Mamon, Rogemar S. (ed.) et al., Hidden Markov models in finance. Further developments and applications. Volume II. New York, NY: Springer. Int. Ser. Oper. Res. Manag. Sci. 209, 133-166 (2014). MSC: 91B30 35Q91 PDF BibTeX XML Cite \textit{P. Azimzadeh} et al., Int. Ser. Oper. Res. Manag. Sci. 209, 133--166 (2014; Zbl 1418.91228) Full Text: DOI OpenURL
Forsyth, Peter; Vetzal, Kenneth An optimal stochastic control framework for determining the cost of hedging of variable annuities. (English) Zbl 1402.93266 J. Econ. Dyn. Control 44, 29-53 (2014). MSC: 93E20 91G20 91B30 49K45 91G80 PDF BibTeX XML Cite \textit{P. Forsyth} and \textit{K. Vetzal}, J. Econ. Dyn. Control 44, 29--53 (2014; Zbl 1402.93266) Full Text: DOI OpenURL
Babbin, J.; Forsyth, P. A.; Labahn, G. A comparison of iterated optimal stopping and local policy iteration for American options under regime switching. (English) Zbl 1306.60039 J. Sci. Comput. 58, No. 2, 409-430 (2014). Reviewer: Pavel Gapeev (London) MSC: 60G40 91G20 91G80 65N06 65K15 PDF BibTeX XML Cite \textit{J. Babbin} et al., J. Sci. Comput. 58, No. 2, 409--430 (2014; Zbl 1306.60039) Full Text: DOI OpenURL
Chen, Zhuliang; Forsyth, Peter A. Implications of a regime-switching model on natural gas storage valuation and optimal operation. (English) Zbl 1198.91204 Quant. Finance 10, No. 2, 159-176 (2010). MSC: 91G20 93E20 91G60 PDF BibTeX XML Cite \textit{Z. Chen} and \textit{P. A. Forsyth}, Quant. Finance 10, No. 2, 159--176 (2010; Zbl 1198.91204) Full Text: DOI Link OpenURL
Bélanger, A. C.; Forsyth, P. A.; Labahn, G. Valuing the guaranteed minimum death benefit clause with partial withdrawals. (English) Zbl 1189.91066 Appl. Math. Finance 16, No. 5-6, 451-496 (2009). Reviewer: Giovanni Puccetti (Firenze) MSC: 91B30 60H15 35Q91 49N25 PDF BibTeX XML Cite \textit{A. C. Bélanger} et al., Appl. Math. Finance 16, No. 5--6, 451--496 (2009; Zbl 1189.91066) Full Text: DOI Link OpenURL
Chen, Zhuliang; Forsyth, Peter A. A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB). (English) Zbl 1141.93066 Numer. Math. 109, No. 4, 535-569 (2008). MSC: 93E20 65N06 49L25 91B24 PDF BibTeX XML Cite \textit{Z. Chen} and \textit{P. A. Forsyth}, Numer. Math. 109, No. 4, 535--569 (2008; Zbl 1141.93066) Full Text: DOI OpenURL
Chen, Z.; Vetzal, K.; Forsyth, P. A. The effect of modelling parameters on the value of GMWB guarantees. (English) Zbl 1141.91024 Insur. Math. Econ. 43, No. 1, 165-173 (2008). MSC: 91B30 PDF BibTeX XML Cite \textit{Z. Chen} et al., Insur. Math. Econ. 43, No. 1, 165--173 (2008; Zbl 1141.91024) Full Text: DOI Link OpenURL
Windcliff, Heath; Le Roux, Martin; Forsyth, Peter; Vetzal, Kenneth Understanding the behavior and hedging of segregated funds offering the reset feature. (English) Zbl 1084.91509 N. Am. Actuar. J. 6, No. 2, 107-124 (2002). MSC: 91B28 62P05 PDF BibTeX XML Cite \textit{H. Windcliff} et al., N. Am. Actuar. J. 6, No. 2, 107--124 (2002; Zbl 1084.91509) Full Text: DOI OpenURL