Optimal Time-Consistent Investment Strategy for a DC Pension Plan with the Return of Premiums Clauses and Annuity Contracts
Joint Authors
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-06-24
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Abstract EN
Defined contribution and annuity contract are merged into one pension plan to study both accumulation phase and distribution phase, which results in such effects that both phases before and after retirement being “defined”.
Under the Heston’s stochastic volatility model, this paper focuses on mean-variance insurers with the return of premiums clauses to study the optimal time-consistent investment strategy for the DC pension merged with an annuity contract.
Both accumulation phase before retirement and distribution phase after retirement are studied.
In the time-consistent framework, the extended Hamilton-Jacobi-Bellman equations associated with the optimization problem are established.
Applying stochastic optimal control technique, the time-consistent explicit solutions of the optimal strategies and the efficient frontiers are obtained.
In addition, numerical analysis illustrates our results and also deepens our knowledge or understanding of the research results.
American Psychological Association (APA)
Sheng, De-Lei& Rong, Xi-min. 2014. Optimal Time-Consistent Investment Strategy for a DC Pension Plan with the Return of Premiums Clauses and Annuity Contracts. Discrete Dynamics in Nature and Society،Vol. 2014, no. 2014, pp.1-13.
https://search.emarefa.net/detail/BIM-504308
Modern Language Association (MLA)
Sheng, De-Lei& Rong, Xi-min. Optimal Time-Consistent Investment Strategy for a DC Pension Plan with the Return of Premiums Clauses and Annuity Contracts. Discrete Dynamics in Nature and Society No. 2014 (2014), pp.1-13.
https://search.emarefa.net/detail/BIM-504308
American Medical Association (AMA)
Sheng, De-Lei& Rong, Xi-min. Optimal Time-Consistent Investment Strategy for a DC Pension Plan with the Return of Premiums Clauses and Annuity Contracts. Discrete Dynamics in Nature and Society. 2014. Vol. 2014, no. 2014, pp.1-13.
https://search.emarefa.net/detail/BIM-504308
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-504308