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Determining Equivalent Administrative Charges for Defined Contribution Pension Plans under CEV Model
Joint Authors
Yin, Zheng
Chen, Hongjing
Xie, Tianhao
Source
Mathematical Problems in Engineering
Issue
Vol. 2018, Issue 2018 (31 Dec. 2018), pp.1-10, 10 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2018-09-05
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Abstract EN
In defined contribution pension plan, the determination of the equivalent administrative charges on balance and on flow is investigated if the risk asset follows a constant elasticity of variance (CEV) model.
The maximum principle and the stochastic control theory are applied to derive the explicit solutions of the equivalent equation about the charges.
Using the power utility function, our conclusion shows that the equivalent charge on balance is related to the charge on flow, risk-free interest rate, and the length of accumulation phase.
Moreover, numerical analysis is presented to show our results.
American Psychological Association (APA)
Chen, Hongjing& Yin, Zheng& Xie, Tianhao. 2018. Determining Equivalent Administrative Charges for Defined Contribution Pension Plans under CEV Model. Mathematical Problems in Engineering،Vol. 2018, no. 2018, pp.1-10.
https://search.emarefa.net/detail/BIM-1208300
Modern Language Association (MLA)
Chen, Hongjing…[et al.]. Determining Equivalent Administrative Charges for Defined Contribution Pension Plans under CEV Model. Mathematical Problems in Engineering No. 2018 (2018), pp.1-10.
https://search.emarefa.net/detail/BIM-1208300
American Medical Association (AMA)
Chen, Hongjing& Yin, Zheng& Xie, Tianhao. Determining Equivalent Administrative Charges for Defined Contribution Pension Plans under CEV Model. Mathematical Problems in Engineering. 2018. Vol. 2018, no. 2018, pp.1-10.
https://search.emarefa.net/detail/BIM-1208300
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1208300