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

DOI10.1016/J.JMAA.2024.128576zbMATH Open1544.91277MaRDI QIDQ6607339FDOQ6607339

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)

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• scientific article; zbMATH DE number 7070811

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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