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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- scientific article; zbMATH DE number 5207903 (Why is no real title available?)
- Impulse control of pension fund contributions, in a regime switching economy
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- 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
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- Optimum consumption and portfolio rules in a continuous-time model
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- Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
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- Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes
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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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