Equilibrium strategies in a defined benefit pension plan game with regime switching

DOI10.1016/J.JMAA.2024.128576MaRDI QIDQ6607339zbMATH OpenFDO

Authors Ming Yan, Xueyan Hao, Zhipeng Zhang, Shuhua Zhang

Publication date 18 September 2024

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

regime-switchingportfolio theoryshooting methodstochastic differential gamepension fundingNash/Pareto equilibria

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Applications of game theory (91A80) Portfolio theory (91G10) Stochastic games, stochastic differential games (91A15)

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Cited in

(1)

• Equilibrium investment strategy for multi-period DC pension funds with stochastic interest rate and regime switching

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