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Optimization in financial mathematics 1 Pension funding 1 Poisson process 1 Stochastic control 1
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Josa-Fombellida, Ricardo 1 Rincón-Zapatero, Juan Pablo 1
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European Journal of Operational Research 1
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Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes
Josa-Fombellida, Ricardo; Rincón-Zapatero, Juan Pablo - In: European Journal of Operational Research 220 (2012) 2, pp. 404-413
We study the asset allocation of defined benefit pension plans of the type designed and sponsored by firms with the aim of providing a lifetime pension to the employees at the age of retirement. Benefits are stochastic, combining Poisson jumps with Brownian uncertainty. The sponsor dynamically...
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