Abstract

This paper considered a stochastic control problem for the optimal management of a contribution pension fund model with solvency constraints. It is also strategic to accept the attitude of the fund manager who can invest in two assets: (a risky one and a non risky one in a standard Black Scholes market) and maximize the utility function consequent upon the current level of fund wealth. Our aim in this paper is to pose a constraint on the fund manager by ensuring that a solvency level is maintained on the fund wealth. This implies that the wealth of the running pension fund remains above a stipulated level i.e. the solvency level.

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