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Baojun Bian, Chaoyang Hao, Hong-Kun Xu, Quan Yuan, Free boundary and retirement benefits pricing in a jump-diffusion model

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DOI: 10.23952/jnva.5.2021.3.02

Volume 5, Issue 3, 1 June 2021, Pages 353-370

 

Abstract. The purpose of this paper is to give, by PDE argument, a pricing analysis for the defined benefits retirement pension plan that allows early retirement. The paid benefits on retirement depend on the time and the salary at that time which is assumed to follow a jump-diffusion process. Existence, uniqueness and regularity of the solution to an integro-differential parabolic variational inequality which models the retirement benefits pricing are proved. We also discuss the corresponding free boundary problem and deduce properties of the free boundary which corresponds to the optimal strategy to retirement.

 

How to Cite this Article:
Baojun Bian, Chaoyang Hao, Hong-Kun Xu, Quan Yuan, Free boundary and retirement benefits pricing in a jump-diffusion model, J. Nonlinear Var. Anal. 5 (2021), 353-370.