Optimal pension management in a stochastic framework

被引：112
|
作者：
Battocchio, P
Menoncin, F
机构：
[1] Univ Brescia, Dipartimento Sci Econ, I-25122 Brescia, Italy
[2] Univ Trieste, Dipartimento Matemat Applicata B De Finetti, I-34127 Trieste, Italy
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2004年 / 34卷 / 01期
关键词：
defined-contribution pension plan; salary risk; inflation risk; Stochastic optimal control; Hamilton-Jacobi-Bellman equation;
D O I：
10.1016/j.insmatheco.2003.11.001
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We consider a stochastic model for a defined-contribution pension fund in continuous time. In particular, we focus on the portfolio problem of a fund manager who wants to maximize the expected utility of his terminal wealth in a complete financial market with stochastic interest rate. The fund manager must cope with two background risks: the salary risk and the inflation risk. We find a closed form solution for the asset allocation problem and so we are able to analyze in detail the behavior of the optimal portfolio with respect to salary and inflation. Finally, a numerical simulation is presented. (C) 2003 Elsevier B.V. All rights reserved.
引用
收藏
页码：79 / 95
页数：17
相关论文
共 50 条
  • [1] On "optimal pension management in a stochastic framework" with exponential utility
    Ma, Qing-Ping
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2011, 49 (01): : 61 - 69
  • [2] Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
    Guan, Guohui
    Liang, Zongxia
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2014, 57 : 58 - 66
  • [3] Optimal DC pension investment strategies in a stochastic framework
    Gao, Jianwei
    Li, Tao
    Chu, Zhonghua
    [J]. International Conference on Management Innovation, Vols 1 and 2, 2007, : 1222 - 1227
  • [4] Optimal Pension Fund Management with Foreign Investment in a Stochastic Environment
    Tang, Mei-Ling
    Wu, Ting-Pin
    Hung, Ming-Chin
    [J]. MATHEMATICS, 2022, 10 (14)
  • [5] Optimal risk management in defined benefit stochastic pension funds
    Josa-Fombellida, R
    Rincón-Zapatero, JP
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2004, 34 (03): : 489 - 503
  • [6] Management Strategies for the Defined Benefit Pension Fund Under Stochastic Framework
    School of Mathematical Sciences, Dalian University of Technology, Dalian, China
    [J]. Am J Math Manage Sci, 2020, 2 (182-197):
  • [7] OPTIMAL MIX BETWEEN PAY AS YOU GO AND FUNDING FOR PENSION LIABILITIES IN A STOCHASTIC FRAMEWORK
    Devolder, Pierre
    Melis, Roberta
    [J]. ASTIN BULLETIN, 2015, 45 (03): : 551 - 575
  • [8] Sensitivity Analysis for a Dynamic Stochastic Accumulation Model for Optimal Pension Savings Management
    Jakubik, Tibor
    Melichercik, Igor
    Sevcovic, Daniel
    [J]. EKONOMICKY CASOPIS, 2009, 57 (08): : 756 - 771
  • [9] Stochastic optimal control of DC pension funds
    Gao, Jianwei
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2008, 42 (03): : 1159 - 1164
  • [10] Optimal chance-constrained pension fund management through dynamic stochastic control
    Davide Lauria
    Giorgio Consigli
    Francesca Maggioni
    [J]. OR Spectrum, 2022, 44 : 967 - 1007
12345