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- W2269509547 abstract "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 selects an optimal investment-contribution-new venture strategy that minimizes the risk described by a convex risk measure of the scheme’s terminal wealth while the market selects a probability measure index analogous to the worst-case scenario where the risk is maximal. We apply the backward stochastic differential equation (BSDE) approach to solve the game problem. This allows us to obtain a simple and natural approach for the existence and uniqueness of an optimal strategy of the SDG without imposing any Markov assumptions." @default.
- W2269509547 created "2016-06-24" @default.
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- W2269509547 date "2011-01-01" @default.
- W2269509547 modified "2023-09-23" @default.
- W2269509547 title "Risk-Based Approach for the Management of a Defined Benefit Pension Scheme" @default.
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- W2269509547 doi "https://doi.org/10.2139/ssrn.2020235" @default.
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