RT info:eu-repo/semantics/article
T1 Minimizing the benefit risk in a target benefit stochastic pension plan
A1 Josa Fombellida, Ricardo
A1 López Casado, Paula
K1 Target benefit pension plan; Portfolio optimization; Stochastic dynamic programming
K1 5312.06 Finanzas y Seguros
K1 1207.05 Programación Dinámica
AB 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 rissless asset and a risky asset where the uncertainty comes from Brownian motion process. The manager minimizes the quadratic deviations between benefit and terminal fund with respect to their target values. A weighting factor included in the model indicates the importance of minimizing the deviation of the terminal fund. 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 horizon. An interesting particular case that receives special attention is when the contribution and the targets have an exponential form.
PB Asociación Española de Profesores Universitarios de Matemáticas para la Economía y la Empresa (ASEPUMA)
SN 2171-892X
YR 2025
FD 2025
LK https://uvadoc.uva.es/handle/10324/81461
UL https://uvadoc.uva.es/handle/10324/81461
LA spa
NO Anales de ASEPUMA, 2025, vol. 33, pp. 1-19
NO Producción Científica
DS UVaDOC
RD 05-feb-2026