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Título
Optimal investment and benefit strategies for a target benefit pension plan where the risky assets are jump diffusion processes
Año del Documento
2025
Editorial
Elsevier
Descripción
Producción Científica
Documento Fuente
Insurance: Mathematics and Economics, 2025, vol. 121, p. 100-110
Resumen
In this paper, we study the optimal management of a target benefit pension plan. The fund manager adjusts the
benefit to guarantee the plan stability. The fund can be invested in a riskless asset and several risky assets, where
the uncertainty comes from Brownian and Poisson processes. The aim of the manager is to maximize the expected
discounted utility of the benefit and the terminal fund wealth. A stochastic control problem is considered and
solved by the programming dynamic approach. Optimal benefit and investment strategies are analytically found
and analyzed, both in finite and infinite horizons. A numerical illustration shows the effect of some parameters
on the optimal strategies and the fund wealth.
Materias Unesco
5312 Economía Sectorial
Palabras Clave
Target benefit pension plan
Portfolio optimization
Stochastic optimal control
Poisson process
Stochastic dynamic programming
ISSN
0167-6687
Revisión por pares
SI
Patrocinador
Ministerio de Ciencia e Innovación (Under grant PID2020-117354GB-I00)
Ministerio de Economía, Industria y Competitividad (Under grant ECO2017-86261-P and ECO2014-56384-P)
Junta de Castilla y Leó (Under project VA148G18)
Ministerio de Economía, Industria y Competitividad (Under grant ECO2017-86261-P and ECO2014-56384-P)
Junta de Castilla y Leó (Under project VA148G18)
Version del Editor
Propietario de los Derechos
© 2025 The Author(s)
Idioma
eng
Tipo de versión
info:eu-repo/semantics/publishedVersion
Derechos
openAccess
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