A defined benefit pension plan game with Brownian and Poisson jumps uncertainty

DOI10.1016/J.EJOR.2023.04.014OpenAlexW4364359869MaRDI QIDQ6168580FDOQ6168580

Authors: Ricardo Josa-Fombellida, Paula López-Casado 

Publication date: 11 July 2023

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2023.04.014

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zbMATH Keywords

financePoisson jumpsstochastic differential gameMarkov perfect Nash equilibriapension funds management

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

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Cited In (1)

• Robust asset-liability management games for \(n\) players under multivariate stochastic covariance models

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