2026-04-14T18:24:10Zhttps://uvadoc.uva.es/oai/request

oai:uvadoc.uva.es:10324/769462025-12-03T07:55:28Zcom_10324_1151com_10324_931com_10324_894col_10324_1278

Josa Fombellida, Ricardo López Casado, Paula 2025-07-29T10:26:35Z 2025-07-29T10:26:35Z 2025 Insurance: Mathematics and Economics, 2025, vol. 121, p. 100-110 0167-6687 https://uvadoc.uva.es/handle/10324/76946 10.1016/j.insmatheco.2025.01.002 100 110 Insurance: Mathematics and Economics 121 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. eng info:eu-repo/semantics/openAccess http://creativecommons.org/licenses/by/4.0/ © 2025 The Author(s) Atribución 4.0 Internacional Optimal investment and benefit strategies for a target benefit pension plan where the risky assets are jump diffusion processes info:eu-repo/semantics/article