Cover Image

Optimal investment and Pension policy in Pay-As-You-Go systems under forward utility and ageing population

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Alonso-Garcia, Jennifer, Hillairet, Caroline, Kaakai, Sarah, Mrad, Mohamed
Format:	Preprint
Published:	2026
Subjects:	Mathematical Finance Optimization and Control Probability
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Time-consistent pension policy with minimum guarantee and sustainability constraint
by: Hillairet, Caroline, et al.
Published: (2022)

Strategies with minimal norm are optimal for expected utility maximization under high model ambiguity
by: Carassus, Laurence, et al.
Published: (2023)

Robust dividend policy: Equivalence of Epstein-Zin and Maenhout preferences
by: Chen, Kexin, et al.
Published: (2024)

Estimation of Systemic Shortfall Risk Measure using Stochastic Algorithms
by: Kaakai, Sarah, et al.
Published: (2022)

Dimension Reduction in Martingale Optimal Transport: Geometry and Robust Option Pricing
by: Hiew, Joshua Zoen-Git, et al.
Published: (2023)

Existence of Strong Randomized Equilibria in Mean-Field Games of Optimal Stopping with Common Noise
by: Ferrari, Giorgio, et al.
Published: (2025)

A System of BSDEs with Singular Terminal Values Arising in Optimal Liquidation with Regime Switching
by: Fu, Guanxing, et al.
Published: (2024)

Optimal Consumption and Portfolio Choice with No-Borrowing Constraint in the Kim-Omberg Model: The Complete Market Case
by: Ferrari, Giorgio, et al.
Published: (2026)

Sensitivity of robust optimization problems under drift and volatility uncertainty
by: Bartl, Daniel, et al.
Published: (2023)

Robust mean-field control under common noise uncertainty
by: Laurière, Mathieu, et al.
Published: (2025)

Non-concave stochastic optimal control in finite discrete time under model uncertainty
by: Neufeld, Ariel, et al.
Published: (2024)

Optimal mean-variance portfolio selection under regime-switching-induced stock price shocks
by: Shi, Xiaomin, et al.
Published: (2025)

Optimal investment and consumption under forward utilities with relative performance concerns
by: Broux-Quemerais, Guillaume, et al.
Published: (2025)

Dual Attainment in Multi-Period Multi-Asset Martingale Optimal Transport and Its Computation
by: Che, Charlie, et al.
Published: (2026)

General duality and dual attainment for adapted transport
by: Kršek, Daniel, et al.
Published: (2024)

Dynamic characterization of barycentric optimal transport problems and their martingale relaxation
by: Guo, Ivan, et al.
Published: (2025)

Robust SGLD algorithm for solving non-convex distributionally robust optimisation problems
by: Neufeld, Ariel, et al.
Published: (2024)

Mean-field games with unbounded controls: a weak formulation approach to global solutions
by: Horst, Ulrich, et al.
Published: (2026)

An optimal transport foundation for a class of dynamically consistent risk measures
by: Fuhrmann, Sven, et al.
Published: (2026)

Super-hedging-pricing formulas and Immediate-Profit arbitrage for market models under random horizon
by: Choulli, Tahir, et al.
Published: (2024)

Equilibrium investment under dynamic preference uncertainty
by: Aquino, Luca De Gennaro, et al.
Published: (2025)

Bid--Ask Martingale Optimal Transport
by: Liang, Bryan, et al.
Published: (2026)

Optimal reinsurance and investment via stochastic projected gradient method based on Malliavin calculus
by: Otsuki, Yuta, et al.
Published: (2024)

Large Banks and Systemic Risk: Insights from a Mean-Field Game Model
by: Chang, Yuanyuan, et al.
Published: (2023)

Scaling Limits for Exponential Hedging in the Brownian Framework
by: Dolinksy, Yan, et al.
Published: (2025)

Convolution Bounds on Quantile Aggregation
by: Blanchet, Jose, et al.
Published: (2020)

Robust Hedging of path-dependent options using a min-max algorithm
by: Banerjee, Purba, et al.
Published: (2025)

European Options in Market Models with Multiple Defaults: the BSDE approach
by: Grigorova, Miryana, et al.
Published: (2026)

The geometry of financial institutions -- Wasserstein clustering of financial data
by: Riess, Lorenz, et al.
Published: (2023)

Optimal Impulse Control for Cyber Risk Management
by: Hillairet, Caroline, et al.
Published: (2024)

Many-insurer robust games of reinsurance and investment under model uncertainty in incomplete markets
by: Guan, Guohui, et al.
Published: (2024)

Polynomial time algorithm for optimal stopping with fixed accuracy
by: Goldberg, David A., et al.
Published: (2018)

Risk Measures for DC Pension Plan Decumulation
by: Forsyth, Peter A., et al.
Published: (2025)

Multi-asset optimal trade execution with stochastic cross-effects: An Obizhaeva-Wang-type framework
by: Ackermann, Julia, et al.
Published: (2025)

Optimal investment and consumption under logarithmic utility and uncertainty model
by: Faidi, Wahid
Published: (2022)

Optimal consumption under relaxed benchmark tracking and consumption drawdown constraint
by: Bo, Lijun, et al.
Published: (2024)

Optimal consumption under a drawdown constraint over a finite horizon
by: Chen, Xiaoshan, et al.
Published: (2022)

The Gradient Flow of the Bass Functional in Martingale Optimal Transport
by: Backhoff-Veraguas, Julio, et al.
Published: (2024)

Multidimensional indefinite stochastic Riccati equations and zero-sum stochastic linear-quadratic differential games with non-Markovian regime switching
by: Zhang, Panpan, et al.
Published: (2023)

Risk-Sensitive Mean Field Games with Common Noise: A Theoretical Study with Applications to Interbank Markets
by: Ren, Xin Yue, et al.
Published: (2024)