We study the optimal management of an aggregated overfunded pension plan of defined benefit type as a two-player noncooperative differential game. The model's key fact is to consider the fund surplus as a strategic variable that makes the pension plan more attractive both for current and future...

It is generally admitted that a correct forecasting of uncertain variables needs Markov decision rules. In a dynamic game environment, this belief is reinforced if one focus on credible actions of the players. Usually, subgame perfectness requires equilibrium strategies being constructed on...

This paper aims to characterize a class of stochastic differential games which satisfy the certainty equivalence principle. This means that the Markov Perfect Nash Equilibrium is also an equilibrium of the associated deterministic game. By focusing on a model scalar game with linear dynamics in...