Article ID Journal Published Year Pages File Type
6898489 European Journal of Operational Research 2012 10 Pages PDF
Abstract
► We study a jump-diffusion model of optimal management of a DB pension plan. ► The optimal investment is proportional to the optimal fund plus a correction summand. ► A suitable technical rate of interest leads to a spread method of funding. ► 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
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