TITLE:
Stackelberg Differential Game for Target Benefit Pension Plans
AUTHORS:
Jiachen Chen, Jianting Qie
KEYWORDS:
Target Benefit Plan, Stackelberg Differential Game, Reinsurance, Stochastic Optimal Control
JOURNAL NAME:
Modern Economy,
Vol.16 No.11,
November
12,
2025
ABSTRACT: In this paper, a Stackelberg game model is constructed between a Target Benefit Pension (TBP) fund and a reinsurance company. The model features the following characteristics: the contribution rate of plan members is predetermined, while the pension payment level depends on the plans financial status and involves a risk-sharing mechanism across generations. Both participants invest in risk-free and risky assets. By applying stochastic optimal control methods, closed-form solutions are derived for the Stackelberg differential game model.