目标收益养老金计划的最优vix挂钩结构

IF 1.7 3区经济学 Q2 ECONOMICS

ASTIN Bulletin Pub Date : 2023-10-18 DOI:10.1017/asb.2023.33

Lv Chen, Danping Li, Yumin Wang, Xiaobai Zhu

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引用次数: 0

摘要

摘要本文研究了最优VIX-linked target benefit (TB)养老金设计。通过应用动态规划方法，我们发现福利支付的最佳风险分担结构呈现线性形式，由三个组成部分组成:(1)模型稳健的绩效调整，(2)依赖于VIX指数的反周期波动率调整，以及(3)结核病水平部分与生活成本调整挂钩。我们的结果和以前的文献之间的差异是通过理论推导和数值说明突出。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Optimal VIX-linked structure for the target benefit pension plan

Abstract In this paper, we study the optimal VIX-linked target benefit (TB) pension design. By applying the dynamic programming approach, we show the optimal risk-sharing structure for the benefit payment exhibits a linear form that consists of three components: (1) a model-robust performance adjustment, (2) a counter-cyclical volatility adjustment that depends on the VIX index, and (3) a TB level that is partially indexed to the cost-of-living adjustment. Differences between our results and the previous literature are highlighted via both theoretical derivations and numerical illustrations.

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来源期刊

ASTIN Bulletin 数学-数学跨学科应用

CiteScore

3.20

自引率

5.30%

发文量

审稿时长

>12 weeks

期刊介绍： ASTIN Bulletin publishes papers that are relevant to any branch of actuarial science and insurance mathematics. Its papers are quantitative and scientific in nature, and draw on theory and methods developed in any branch of the mathematical sciences including actuarial mathematics, statistics, probability, financial mathematics and econometrics.