Stochastic dynamic models for pension plan management

Abstract

This thesis presents a compendium of three research chapters that contribute to the understanding and optimization of pension fund management under different frameworks and uncertainty models. Each chapter addresses specific aspects of pension fund optimization, considering different pension plan structures, financial market dynamics, and decision-making objectives. Together, these three studies provide a comprehensive examination of pension fund management under different structural and stochastic frameworks. By employing advanced mathematical techniques such as stochastic control, dynamic programming, and differential games, this thesis contributes to the understanding of optimal strategies for pension funds in uncertain financial environments.