Constant elasticity of variance model and analytical strategies for annuity contracts

被引：5
|
作者：
Xiao Jian-wu [1 ]
Yin Shao-hua
Qin Cheng-lin
机构：
[1] Cent S Univ Forestry & Technol, Sch Business, Changsha 410004, Peoples R China
[2] Shanghai Univ, Coll Sci, Shanghai 200444, Peoples R China
来源：
APPLIED MATHEMATICS AND MECHANICS-ENGLISH EDITION | 2006年 / 27卷 / 11期
关键词：
defined contribution pension plan; stochastic optimal control; CEV model; Legendre transform; analytical strategy;
D O I：
10.1007/s10483-006-1107-z
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
The constant elasticity of variance(CEV) model was constructed to study a defined contribution pension plan where benefits were paid by annuity. It also presents the process that the Legendre transform and dual theory can be applied to find an optimal investment policy during a participant's whole life in the pension plan. Finally, two explicit solutions to exponential utility function in the two different periods (before and after retirement) are revealed. Hence, the optimal investment strategies in the two periods axe obtained.
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页码：1499 / 1506
页数：8
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