On-device research index

arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,695 papers · 148 categories

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3 results for “overfunding”

Optimal management of DB pension fund under both underfunded and overfunded casesq-fin.PM

Optimizes pension fund management under funding risks.

problem Managing DB pension fund under underfunded and overfunded conditions.

method Stochastic model with Ornstein-Uhlenbeck interest rate, geometric Brownian motion for benefits, and cash, bond, stock investments.

result Optimal wealth process, portfolio, and efficient frontier obtained under various tolerance levels for solvency risk.

DB pension fund stochastic modeling Ornstein-Uhlenbeck geometric Brownian motion solvency risk

2023-02-17abs ↗pdf ↗

The USS Trustee's risky strategyq-fin.ST

USS fund risk assessment shows low default chance but high overfunding.

problem Risk assessment of Universities Superannuation Scheme (USS) fund.

method Estimates risk of default and overfunding using a cautious model.

result Fund has less than 7% chance of defaulting but overfunding by at least £100bn.

USS fund risk assessment default chance overfunding asset growth

2021-10-27abs ↗pdf ↗

Robust equilibrium strategies in a defined benefit pension plan gameq-fin.RM

Paper analyzes robust strategies in a pension plan game with ambiguous financial markets.

problem Analyzing robust strategies in a defined benefit pension plan game with ambiguous financial markets.

method Formulated and solved two robust non-zero-sum games using stochastic dynamic programming.

result Explicit forms and optimality of the solutions are shown for the firm and union.

Pension plan Robust strategies Non-zero-sum games Ambiguous financial markets Stochastic dynamic programming

2021-03-16abs ↗pdf ↗