2026-05-05T20:48:21Zhttps://uvadoc.uva.es/oai/requestoai:uvadoc.uva.es:10324/769462025-12-03T07:55:28Zcom_10324_1151com_10324_931com_10324_894col_10324_1278
Optimal investment and benefit strategies for a target benefit pension plan where the risky assets are jump diffusion processes
Josa Fombellida, Ricardo
López Casado, Paula
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.
2025-07-29T10:26:35Z
2025-07-29T10:26:35Z
2025-07-29T10:26:35Z
2025
info:eu-repo/semantics/article
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
eng
https://www.sciencedirect.com/science/article/pii/S0167668725000137
info:eu-repo/semantics/openAccess
http://creativecommons.org/licenses/by/4.0/
© 2025 The Author(s)
Atribución 4.0 Internacional
Elsevier