Equilibrium strategies in a defined benefit pension plan game
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Publication:1711486
DOI10.1016/j.ejor.2018.11.018zbMath1431.91335OpenAlexW2555353293MaRDI QIDQ1711486
Ricardo Josa-Fombellida, Juan Pablo Rincón-Zapatero
Publication date: 18 January 2019
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://uvadoc.uva.es/handle/10324/37898
Differential games (aspects of game theory) (91A23) Portfolio theory (91G10) Risk models (general) (91B05) Actuarial mathematics (91G05)
Related Items (6)
Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility ⋮ Robust equilibrium strategies in a defined benefit pension plan game ⋮ A defined benefit pension plan model with stochastic salary and heterogeneous discounting ⋮ A defined benefit pension plan game with Brownian and Poisson jumps uncertainty ⋮ A Stackelberg game of backward stochastic differential equations with applications ⋮ Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty
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