Centro de Documentacion de Fundación MAPFRE - Pareto-optimal risk exchange in a continuous-time economy : application to target benefit pension

Notas: Sumario: This paper examines risk exchange and optimal resource allocation among multiple entities in a continuous-time economy. It introduces a dynamic mechanism that enables ongoing sharing and transfer of risks, achieving Pareto-optimal outcomes through a stochastic control framework and martingale methods. The approach is applied to a target benefit pension plan to illustrate the advantages of risk sharing. Numerical results highlight how investment portfolios, adjustment levels, and allocation ratios respond to changes in key parameters, showing that higher aggregate endowments increase the adjustment item and that allocation ratios rise with agents' weightsRegistros relacionados: En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 15/09/2025 Volume 55 Issue 3 - September 2025 , p. 615 - 643Materia / lugar / evento: Matemática del seguro Planes de pensiones Distribución de riesgos Transferencia de riesgos Inversiones Modelos matemáticos Otros autores: Shen, Yang
Kuen Siu, Tak
International Actuarial Association
Outras classificações: 6

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