通胀风险与波动风险环境下带有保费返还条款的DC型养老金计划
DC Pension Plan with the Return of Premium Clauses Under Inflation Risk and Volatility Risk
通胀风险和波动风险是影响养老金计划的最重要的两个因素, 保费返还 条款可以保障死亡的养老基金持有者的权益. 文章研究了通胀风险和波动风险环境下带有保费返还条款的确定缴费型(DC 型)养老金计划问题. 模型中假设风险资产价格由Heston随机波动率模型驱动, 养老金被允许投资于一种无风险资产、一种风险资产和一种通胀相关指数债券. 在均值-方差准则下, 利用随机控制理论、博弈论和变量分离法得到了时间一致最优投资策略和有效前沿的显性解. 最后通过应用数值算例对最优投资策略和有效前沿进行了敏感性分析.
Inflation risk and volatility risk are the two most important factors affecting the pension plan; the return of premium clauses can protect the interests of the death of the pension fund holders. In this paper, we study the problem of defined contribution pension plan with the return of premium clauses under the background of inflation risk and volatility risk. In the model, the risk asset price is assumed to be driven by the Heston stochastic volatility model, and the pension is allowed to invest in a risk-free asset, a risk asset and an inflation related index bond. Using stochastic control theory, game theory and variable separation method, the explicit solutions of time consistent optimal portfolio and efficient frontier were obtained under the mean-variance criterion. Finally, the sensitivity analysis of the optimal investment strategy and the effective frontier is carried out through numerical examples.
随机控制 / 最优投资策略 / 确定缴费型养老基金 / 均值-方差准则 / 通胀风险 / Heston随机波动率 / 保费返还条款. {{custom_keyword}} /
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