Equilibrium strategies in a defined benefit pension plan game

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dc.contributor.author Josa Fombellida, Ricardo
dc.contributor.author Rincón-Zapatero, Juan Pablo
dc.date.accessioned 2022-04-27T18:15:45Z
dc.date.available 2022-04-27T18:15:45Z
dc.date.issued 2019-05-16
dc.identifier.bibliographicCitation Josa-Fombellida, R., & Rincón-Zapatero, J. P. (2019). Equilibrium strategies in a defined benefit pension plan game. European Journal of Operational Research, 275 (1), pp. 374-386.
dc.identifier.issn 0377-2217
dc.identifier.uri http://hdl.handle.net/10016/34650
dc.description.abstract We study the optimal management of an aggregated overfunded pension plan of defined benefit type as a two-player noncooperative differential game. The model’s key fact is to consider the fund surplus as a strategic variable that makes the pension plan more attractive both for current and future participants. We let the worker participants to act collectively as a single player that claims a share of the surplus, and let the sponsoring firm act as the player that cares about the investment of the surplus fund assets. The union’s objective is to maximize the expected discounted utility of the extra benefits claimed. We solve this asymmetric game under two different assumptions on the preferences of the firm: in the first scenario, the firm aims to maximize expected discounted utility derived from fund surplus; while in the second scenario, the firm cares about minimizing the probability that the fund surplus reaches very low values.
dc.description.sponsorship Support from the Ministerio de Economía Industria y Competitividad (Spain), grants ECO2017-86261-P, ECO2014-56384-P and MDM 2014-0431, Comunidad de Madrid MadEco-CM S2015/HUM-3444 and Comunidad de Castilla y León VA148G18, is gratefully acknowledged.
dc.language.iso eng
dc.publisher Elsevier
dc.rights © 2018 Elsevier B.V. All rights reserved.
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Finance
dc.subject.other Pension funding
dc.subject.other Portfolio theory
dc.subject.other Stochastic differential game
dc.subject.other Nash/Pareto equilibria
dc.subject.other Optimization
dc.subject.other Liability
dc.subject.other Risk
dc.title Equilibrium strategies in a defined benefit pension plan game
dc.type article
dc.subject.jel C73
dc.subject.jel G11
dc.subject.jel G22
dc.subject.eciencia Economía
dc.identifier.doi https://doi.org/10.1016/j.ejor.2018.11.018
dc.rights.accessRights openAccess
dc.relation.projectID Gobierno de España. ECO2014-56384-P
dc.relation.projectID Gobierno de España. MDM-2014-0431
dc.relation.projectID Comunidad de Madrid. S2015/HUM-3444
dc.relation.projectID Gobierno de España. ECO2017-86261-P
dc.type.version acceptedVersion
dc.identifier.publicationfirstpage 374
dc.identifier.publicationissue 1
dc.identifier.publicationlastpage 386
dc.identifier.publicationvolume 275
dc.identifier.uxxi AR/0000023112
dc.contributor.funder Ministerio de Economía, Industria y Competitividad (España)
dc.contributor.funder Comunidad de Madrid
dc.contributor.funder Comunidad de Castilla y León
dc.affiliation.dpto UC3M. Departamento de Economía
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