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Ricardo Josa-Fombellida
Ricardo Josa-Fombellida
Associate Professor, Universidad de Valladolid
Bestätigte E-Mail-Adresse bei eio.uva.es - Startseite
Titel
Zitiert von
Zitiert von
Jahr
Optimal risk management in defined benefit stochastic pension funds
R Josa-Fombellida, JP Rincón-Zapatero
Insurance: Mathematics and Economics 34 (3), 489-503, 2004
1112004
Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
R Josa-Fombellida, JP Rincón-Zapatero
European Journal of Operational Research 201 (1), 211-221, 2010
832010
Minimization of risks in pension funding by means of contributions and portfolio selection
R Josa-Fombellida, JP Rincón-Zapatero
Insurance: Mathematics and Economics 29 (1), 35-45, 2001
832001
Mean–variance portfolio and contribution selection in stochastic pension funding
R Josa-Fombellida, JP Rincón-Zapatero
European Journal of Operational Research 187 (1), 120-137, 2008
702008
Optimal investment decisions with a liability: The case of defined benefit pension plans
R Josa-Fombellida, JP Rincón-Zapatero
Insurance: Mathematics and Economics 39 (1), 81-98, 2006
502006
Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes
R Josa-Fombellida, JP Rincón-Zapatero
European Journal of Operational Research 220 (2), 404-413, 2012
482012
Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor-income earnings
R Josa-Fombellida, JP Rincón-Zapatero
Computers & operations research 35 (1), 47-63, 2008
262008
New approach to stochastic optimal control
R Josa-Fombellida, JP Rincón-Zapatero
Journal of Optimization Theory and Applications 135 (1), 163-177, 2007
262007
Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance
R Josa-Fombellida, P López-Casado, JP Rincón-Zapatero
Insurance: Mathematics and Economics 82, 73-86, 2018
242018
Equilibrium strategies in a defined benefit pension plan game
R Josa-Fombellida, JP Rincón-Zapatero
European Journal of Operational Research 275 (1), 374-386, 2019
132019
Euler–Lagrange equations of stochastic differential games: application to a game of a productive asset
R Josa-Fombellida, JP Rincón-Zapatero
Economic Theory 59, 61-108, 2015
92015
Time consistent pension funding in a defined benefit pension plan with non-constant discounting
R Josa-Fombellida, J Navas
Insurance: Mathematics and Economics 94, 142-153, 2020
62020
Evolución del proyecto piloto para la adecuación de primer curso de Diplomado en Estadística al EEES (2005/2006)
JAM Fernández, RJ Fombellida, MTG Arteaga, MS Álvarez, PR del Tío, ...
I Jornadas nacionales de intercambio de experiencias piloto de implantación …, 2006
32006
Certainty equivalence principle in stochastic differential games: an inverse problem approach
R Josa‐Fombellida, JP Rincón‐Zapatero
Optimal Control Applications and Methods 40 (3), 545-557, 2019
22019
An Euler-Lagrange equation approach for solving stochastic differential games
R Josa-Fombellida, JP Rincón-Zapatero
submitted, 2013
22013
On a PDE arising in one-dimensional stochastic control problems
R Josa-Fombellida, JP Rincón-Zapatero
Journal of optimization theory and applications 147 (1), 1-26, 2010
22010
Markov Perfect Nash Equilibrium in stochastic differential games as solution of a generalized Euler Equations System
R Josa-Fombellida, JP Rincón-Zapatero
22008
A defined benefit pension plan game with Brownian and Poisson jumps uncertainty
R Josa-Fombellida, P López-Casado
European Journal of Operational Research 310 (3), 1294-1311, 2023
12023
A defined benefit pension plan model with stochastic salary and heterogeneous discounting
R Josa-Fombellida, P López-Casado, J Navas
ASTIN Bulletin: The Journal of the IAA 53 (1), 62-83, 2023
12023
Stochastic differential games for which the open-loop equilibrium is subgame perfect
R Josa-Fombellida, JP Rincón-Zapatero
Dynamic Games and Applications 8, 379-400, 2018
12018
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