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Stackelberg Differential Game for Target Benefit Pension Plans
School of Mathematics, Sun Yat-sen University, Guangzhou, China
School of Mathematics, Tianjin University, Tianjin, China
- 1 School of Mathematics, Sun Yat-sen University, Guangzhou, China
- 2 School of Mathematics, Tianjin University, Tianjin, China
Modern Economy·Volume 16 (2025)·Pages 1785–1801·Published 11 November 2025·DOI10.4236/me.2025.1611082
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Abstract
In this paper, a Stackelberg game model is constructed between a Target Benefit Pension (TBP) fund and a reinsurance company. The model features the following characteristics: the contribution rate of plan members is predetermined, while the pension payment level depends on the plans financial status and involves a risk-sharing mechanism across generations. Both participants invest in risk-free and risky assets. By applying stochastic optimal control methods, closed-form solutions are derived for the Stackelberg differential game model.
KeywordsTarget Benefit PlanStackelberg Differential GameReinsuranceStochastic Optimal Control
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