A defined benefit pension plan game with Brownian and Poisson jumps uncertainty
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Cites work
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- scientific article; zbMATH DE number 1243371 (Why is no real title available?)
- scientific article; zbMATH DE number 1734466 (Why is no real title available?)
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- Impulse control of pension fund contributions, in a regime switching economy
- Minimization of risks in pension funding by means of contributions and portfolio selection.
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- Optimal investment choices post-retirement in a defined contribution pension scheme
- Optimal investment decisions with a liability: the case of defined benefit pension plans
- Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty
- Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
- Optimal portfolio for a small investor in a market model with discontinuous prices
- Optimal portfolio selection when stock prices follow an jump-diffusion process
- Optimal portfolios for DC pension plans under a CEV model
- Optimal risk management in defined benefit stochastic pension funds
- Optimum consumption and portfolio rules in a continuous-time model
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- Robust equilibrium strategies in a defined benefit pension plan game
- Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
- Spectral risk measure of holding stocks in the long run
- Stochastic pension fund control in the presence of Poisson jumps
- Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes
- Towards a General Theory of Good-Deal Bounds*
Cited in
(8)- Robust asset-liability management games for \(n\) players under multivariate stochastic covariance models
- Robust equilibrium strategies in DB pension plans with Poisson jumps
- Robust two-player differential investment game of defined contribution pension plans under multiple risks
- Optimal investment strategies and intergenerational risk sharing for target benefit pension plans under habit formation
- Optimal investment and benefit strategies for a target benefit pension plan where the risky assets are jump diffusion processes
- Robust Nash equilibrium for defined contribution pension games with delay under multivariate stochastic covariance models
- A jump-diffusion Stackelberg stochastic differential game in optimal carbon abatement strategies with green subsidy
- Robust Nash equilibrium for asset-liability management games under money illusion and mean-reverting return
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