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

王远野,樊顺厚,常浩

系统科学与数学 ›› 2018, Vol. 38 ›› Issue (4) : 423-437.

PDF(584 KB)
PDF(584 KB)
系统科学与数学 ›› 2018, Vol. 38 ›› Issue (4) : 423-437. DOI: 10.12341/jssms13391
论文

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

    王远野1,樊顺厚1,常浩2,1
作者信息 +

DC Pension Plan with the Return of Premium Clauses Under Inflation Risk and Volatility Risk

    WANG Yuanye1 ,FAN Shunhou1 ,CHANG Hao 2,1
Author information +
文章历史 +

摘要

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.

Abstract

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.

关键词

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.

引用本文

导出引用
王远野 , 樊顺厚 , 常浩. 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. 系统科学与数学, 2018, 38(4): 423-437. https://doi.org/10.12341/jssms13391
WANG Yuanye , FAN Shunhou , CHANG Hao. DC Pension Plan with the Return of Premium Clauses Under Inflation Risk and Volatility Risk. Journal of Systems Science and Mathematical Sciences, 2018, 38(4): 423-437 https://doi.org/10.12341/jssms13391
PDF(584 KB)

Accesses

Citation

Detail

段落导航
相关文章

/