Ricardo Josa-Fombellida

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
A defined benefit pension plan game with Brownian and Poisson jumps uncertainty European Journal of Operational Research	2023-07-11	Paper
A defined benefit pension plan model with stochastic salary and heterogeneous discounting ASTIN Bulletin	2023-06-26	Paper
Time consistent pension funding in a defined benefit pension plan with non-constant discounting Insurance Mathematics & Economics	2020-11-19	Paper
Certainty equivalence principle in stochastic differential games: an inverse problem approach Optimal Control Applications & Methods	2019-10-29	Paper
Equilibrium strategies in a defined benefit pension plan game European Journal of Operational Research	2019-01-18	Paper
Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance Insurance Mathematics & Economics	2018-10-19	Paper
Stochastic differential games for which the open-loop equilibrium is subgame perfect Dynamic Games and Applications	2018-07-05	Paper
Euler-Lagrange equations of stochastic differential games: application to a game of a productive asset Economic Theory	2015-06-26	Paper
Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes European Journal of Operational Research	2012-12-29	Paper
On a PDE arising in one-dimensional stochastic control problems Journal of Optimization Theory and Applications	2010-12-06	Paper
Optimal risk management in defined benefit stochastic pension funds Insurance Mathematics & Economics	2010-06-20	Paper
Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates European Journal of Operational Research	2009-12-10	Paper
Mean-variance portfolio and contribution selection in stochastic pension funding European Journal of Operational Research	2008-04-22	Paper
New approach to stochastic optimal control Journal of Optimization Theory and Applications	2008-01-04	Paper
Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings Computers & Operations Research	2007-10-10	Paper
Optimal investment decisions with a liability: the case of defined benefit pension plans Insurance Mathematics & Economics	2006-10-05	Paper
Minimization of risks in pension funding by means of contributions and portfolio selection. Insurance Mathematics & Economics	2003-11-16	Paper

Research outcomes over time

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