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This paper investigates the robust {non-zero-sum} games in an aggregated {overfunded} defined benefit (abbr. DB) pension plan. The sponsoring firm is concerned with the investment performance of the fund surplus while the participants act as a union to claim a share of the fund surplus. The financial market consists of one risk-free asset and $n$ risky assets. The firm and the union both are ambiguous about the financial market and care about the robust strategies under the worst case scenario. {The unions objective is to maximize the expected discounted utility of the additional benefits, the firms two different objectives are to maximizing the expected discounted utility of the fund surplus and the probability of the fund surplus reaching an upper level before hitting a lower level in the worst case scenario.} We formulate the related two robust non-zero-sum games for the firm and the union. Explicit forms and optimality of the solutions are shown by stochastic dynamic programming method. In the end of this paper, numerical results are illustrated to depict the economic behaviours of the robust equilibrium strategies in these two different games.
In this paper, we develop a deep neural network approach to solve a lifetime expected mortality-weighted utility-based model for optimal consumption in the decumulation phase of a defined contribution pension system. We formulate this problem as a mu
In this paper, we investigate the optimal management of defined contribution (abbr. DC) pension plan under relative performance ratio and Value-at-Risk (abbr. VaR) constraint. Inflation risk is introduced in this paper and the financial market consis
The large majority of risk-sharing transactions involve few agents, each of whom can heavily influence the structure and the prices of securities. This paper proposes a game where agents strategic sets consist of all possible sharing securities and p
In evolutionary games the fitness of individuals is not constant but depends on the relative abundance of the various strategies in the population. Here we study general games among n strategies in populations of large but finite size. We explore sto
Pension reform is a crucial societal problem in many countries, and traditional pension schemes, such as Pay-As-You-Go and Defined-Benefit schemes, are being replaced by more sustainable ones. One challenge for a public pension system is the manageme