Pareto-optimal risk exchange in a continuous-time economy : application to target benefit pension

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<title>Pareto-optimal risk exchange in a continuous-time economy</title>
<subTitle>: application to target benefit pension</subTitle>
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<namePart>Shen, Yang</namePart>
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<namePart>Kuen Siu, Tak</namePart>
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<abstract displayLabel="Summary">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' weights</abstract>
<note type="statement of responsibility">Cheng Tao, Yang Shen and Tak Kuen Siu</note>
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<topic>Matemática del seguro</topic>
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<topic>Planes de pensiones</topic>
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<topic>Distribución de riesgos</topic>
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<topic>Transferencia de riesgos</topic>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
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<text>15/09/2025 Volume 55 Issue 3 - September 2025 , p. 615 - 643</text>
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