Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes
Year of publication: |
2012
|
---|---|
Authors: | Josa-Fombellida, Ricardo ; Rincón-Zapatero, Juan Pablo |
Published in: |
European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 220.2012, 2, p. 404-413
|
Publisher: |
Elsevier |
Subject: | Optimization in financial mathematics | Pension funding | Stochastic control | Poisson process |
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