We study the gap between the state pension provided by the Italian pension system pre-Dini reform and post-Dini reform. The goal is to fill the gap between the old and the new pension by joining a defined contribution pension scheme and adopting an optimal investment strategy that is...

We present the Forest of Stochastic Trees (FOST) method for pricing multiple exercise options by simulation. The proposed method uses stochastic trees in place of binomial trees in the Forest of Trees algorithm originally proposed to value swing options, hence extending that method to allow for...

This paper deals with a constrained investment problem for a defined contribution (DC) pension fund where retirees are allowed to defer the purchase of the annuity at some future time after retirement.

This paper presents a distributed and dynamic programming framework to the mining production rate target tracking of multiple metal mines under financial uncertainty. A single mine׳s target tracking is stated as a stochastic optimization problem and the solution is obtained by solving the...

This paper introduces a two-phase approach to solve average cost Markov decision processes, which is based on state space embedding or time aggregation. In the first phase, time aggregation is applied for policy optimization in a prescribed subset of the state space, and a novel result is...