Dr. Ricardo Josa Fombellida

Department of Statistics and Operations Research,

Mathematics Research Institute,
Universidad de Valladolid, Spain

Email: [email protected]

Qualifications

2003 Ph.D., Statistics and Operations Research, Universidad de Valladolid, Spain

1995 M.Sc., Statistics and Operations Research, Universidad de Valladolid, Spain

1993 B.Sc., Mathematics, Universidad de Valladolid, Spain

Publications (Selected)

1. Josa-Fombellida, R., López-Casado P. (2023) “A defined benefit pension plan game with Brownian and Poisson jumps uncertainty”, European Journal of Operational Research 310, pp. 1294-1311.
2. Josa-Fombellida, R., López-Casado, P., Navas J. (2023), “A defined benefit pension plan model with stochastic salary and heterogeneous discounting”, ASTIN Bulletin 53, pp. 62-83.
3. Josa-Fombellida, R., Navas J. (2020), “Time consistent pension funding in a defined benefit pension plan with non-constant discounting”, Insurance: Mathematics and Economics 94, pp. 142-153.
4. Josa-Fombellida, R., Rincón-Zapatero J.P. (2019), “Certainty equivalence principle in stochastic differential games: An inverse problem approach”, Optimal Control Applications and Methods 40, pp. 545-557.
5. Josa-Fombellida, R., Rincón-Zapatero J.P. (2019). “Equilibrium strategies in a defined benefit pension plan game”, European Journal of Operational Research 275, pp. 374-386.
6. Josa-Fombellida, R., Rincón-Zapatero J. P. (2018), “Stochastic differential games for which the open-loop equilibrium is subgame perfect”, Dynamic Games and Applications 8, pp. 379-400.
7. Josa-Fombellida, R., Rincón-Zapatero, J.P. (2015), "Euler–Lagrange equations of stochastic differential games: application to a game of a productive asset", Economic Theory 59, pp. 61-108.
8. Josa-Fombellida, R., Rincón-Zapatero, J.P. (2012), "Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes", European Journal of Operational Research 220, pp. 404-413.
9. Josa-Fombellida, R., Rincón-Zapatero, J.P. (2010), "On a PDE arising in onedimensional stochastic control problems", Journal of Optimization Theory and Applications 147, pp. 1-26.
10. Josa-Fombellida, R., Rincón-Zapatero, J.P. (2010), "Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates", European Journal of Operational Research 201, pp. 211-212.
11. Josa-Fombellida R., Rincón-Zapatero, J.P. (2008), "Mean-variance portfolio and contributions selection in stochastic pension funding", European Journal of Operational Research 187, pp. 120-137.
12. Josa-Fombellida, R., Rincón-Zapatero, J.P. (2008), "Funding and investment decisions in a stochastic defined benefit pension plan with several levels of labor income earnings", Computers and Operations Research 35, pp. 47-63.
13. Josa-Fombellida, R., Rincón-Zapatero, J.P. (2007), "New approach to stochastic optimal control", Journal of Optimization Theory and Applications 135, pp. 163-177.
14. Josa-Fombellida, R., Rincón-Zapatero, J.P. (2006), "Optimal investment decisions with a liability: The case of defined benefit pension plans", Insurance: Mathematics and Economics 39, pp. 81-98. In the TOP 25 Most Downloaded Articles of IME (#1 Jul-Sep 06).
15. Josa-Fombellida, R., Rincón-Zapatero, J.P. (2004), "Optimal risk management in defined-benefit stochastic pension funds", Insurance: Mathematics and Economics 34, pp. 489-503. In the TOP 25 Most Downloaded Articles of IME (#1 Jul-Sep 04). In the TOP 25 Most Downloaded Articles of IME (#1 Jul-Sep 06).
16. Josa-Fombellida, R., Rincón-Zapatero, J.P. (2001), "Minimization of risks in pension funding by means of contributions and portfolio selection", Insurance: Mathematics and Economics 29, pp. 35-45.

Profile Details

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