RT info:eu-repo/semantics/article
T1 Optimal investment and benefit strategies for a target benefit pension plan where the risky assets are jump diffusion processes
A1 Josa Fombellida, Ricardo
A1 López Casado, Paula
K1 Target benefit pension plan
K1 Portfolio optimization
K1 Stochastic optimal control
K1 Poisson process
K1 Stochastic dynamic programming
K1 5312 Economía Sectorial
AB In this paper, we study the optimal management of a target benefit pension plan. The fund manager adjusts thebenefit to guarantee the plan stability. The fund can be invested in a riskless asset and several risky assets, wherethe uncertainty comes from Brownian and Poisson processes. The aim of the manager is to maximize the expecteddiscounted utility of the benefit and the terminal fund wealth. A stochastic control problem is considered andsolved by the programming dynamic approach. Optimal benefit and investment strategies are analytically foundand analyzed, both in finite and infinite horizons. A numerical illustration shows the effect of some parameterson the optimal strategies and the fund wealth.
PB Elsevier
SN 0167-6687
YR 2025
FD 2025
LK https://uvadoc.uva.es/handle/10324/76946
UL https://uvadoc.uva.es/handle/10324/76946
LA eng
NO Insurance: Mathematics and Economics, 2025, vol. 121, p. 100-110
NO Producción Científica
DS UVaDOC
RD 05-ago-2025