RT info:eu-repo/semantics/article
T1 A defined benefit pension plan game with Brownian and Poisson jumps uncertainty
A1 Josa Fombellida, Ricardo
A1 López Casado, Paula
K1 Economía
K1 Econometría
K1 Probabilities
K1 Finance
K1 Pension funds management
K1 Stochastic differential game
K1 Markov Perfect Nash Equilibria
K1 Finanzas
K1 Gestión de fondos de pensión
K1 Juego diferencial estocástico
K1 Equilibrios perfectos de Nash de Markov
K1 53 Ciencias Económicas
K1 5302 Econometría
AB In this paper, we study the optimal management of an aggregated pension fund of defined benefit type by means of a differential game with two players, the firm and the participants. We assume that the fund wealth is greater than the actuarial liability and then the manager builds a pension fund surplus. In order to contemplate sudden changes in the financial market, the surplus can be invested in a portfolio with a bond and several risky assets where the uncertainty comes from Brownian motions and Poisson processes. The aim of the participants is to maximize a utility of the extra benefits. The game is analyzed in three scenarios. In the first, the aim of the firm is to maximize a utility of the fund surplus, in the second, to minimize the probability that the fund surplus reaches a low level, and in the third, to minimize the expected time of reaching a benchmark surplus. An infinite horizon is considered, and the game is solved by means of the dynamic programming approach. The influence of the jumps of the financial market on the Nash equilibrium strategies and the fund surplus is studied by means of a numerical illustration.
PB Elsevier
SN 0377-2217
YR 2023
FD 2023
LK https://uvadoc.uva.es/handle/10324/59094
UL https://uvadoc.uva.es/handle/10324/59094
LA eng
NO European Journal of Operational Research, 2023,vol. 310, pp. 1294-1311
NO Producción Científica
DS UVaDOC
RD 17-jul-2024