2026-04-27T21:50:53Zhttps://uvadoc.uva.es/oai/request

oai:uvadoc.uva.es:10324/378982025-03-26T19:10:03Zcom_10324_1151com_10324_931com_10324_894col_10324_1278

Josa Fombellida, Ricardo Rincón Zapatero, Juan Pablo 2019-09-12T10:53:23Z 2019-09-12T10:53:23Z 2019 European Journal of Operational Research, 2019, vol. 275, n. 1, p. 374–386 0377-2217 http://uvadoc.uva.es/handle/10324/37898 10.1016/j.ejor.2018.11.018 374 1 386 European Journal of Operational Research 275 We study the optimal management of an aggregated overfunded pension plan of defined benefit type as a two-player noncooperative differential game. The model’s key fact is to consider the fund surplus as a strategic variable that makes the pension plan more attractive both for current and future participants. We let the worker participants to act collectively as a single player that claims a share of the surplus, and let the sponsoring firm act as the player that cares about the investment of the surplus fund assets. The union’s objective is to maximize the expected discounted utility of the extra benefits claimed. We solve this asymmetric game under two different assumptions on the preferences of the firm: in the first scenario, the firm aims to maximize expected discounted utility derived from fund surplus; while in the second scenario, the firm cares about minimizing the probability that the fund surplus reaches very low values. eng info:eu-repo/semantics/openAccess Equilibrium strategies in a defined benefit pension plan game info:eu-repo/semantics/article