In this paper the optimal management of an aggregated dynamic pension fund is studied. To
cover the promised liabilities to workers at the age of retirement, the plan sponsor
continuously manages time-varying funds. He or she can choose the rate of contribution to
the fund, the investment in a given number of risky assets, and a security with constant rate
of return. The problem of maximizing the probability that the fund assets achieve some
prescribed goal before some undesirable lower value, or ruin point, is first considered …