Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
6898489 | European Journal of Operational Research | 2012 | 10 Pages |
Abstract
⺠We study a jump-diffusion model of optimal management of a DB pension plan. ⺠The optimal investment is proportional to the optimal fund plus a correction summand. ⺠A suitable technical rate of interest leads to a spread method of funding. ⺠The optimal solution makes the plan stable and secure in the long term.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Ricardo Josa-Fombellida, Juan Pablo Rincón-Zapatero,