We apply a risk-based analysis to study the optimal investment-contribution-new venture strategy of a defined-benefit pension (DB) scheme. This problem is formulated as a zero-sum stochastic differential game (SDG) with jump-diffusion between the sponsor and the fictitious market. The scheme...

Properly identifying, measuring and mitigating pension risks continues to be a critical element of fiduciary governance. The complexity and ongoing nature of the risk management process is sometimes overlooked as less important than realising a particular rate of return. Recent market...