风险资产跳跃扩散过程下目标收益养老金计划的最优投资与收益策略

IF 2.2 2区经济学 Q2 ECONOMICS

Insurance Mathematics & Economics Pub Date : 2025-01-09 DOI:10.1016/j.insmatheco.2025.01.002

Ricardo Josa-Fombellida, Paula López-Casado

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引用次数: 0

摘要

本文研究目标收益养老金计划的最优管理问题。基金管理人调整收益以保证计划的稳定性。基金可以投资于一种无风险资产和几种风险资产，其中不确定性来自布朗过程和泊松过程。基金经理的目标是使收益的预期折现效用和最终基金财富最大化。考虑了一个随机控制问题，并采用规划动态方法进行了求解。在有限和无限两种视界中，通过分析找到最优收益和投资策略。数值说明了一些参数对最优策略和基金财富的影响。

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Optimal investment and benefit strategies for a target benefit pension plan where the risky assets are jump diffusion processes

In this paper, we study the optimal management of a target benefit pension plan. The fund manager adjusts the benefit to guarantee the plan stability. The fund can be invested in a riskless asset and several risky assets, where the uncertainty comes from Brownian and Poisson processes. The aim of the manager is to maximize the expected discounted utility of the benefit and the terminal fund wealth. A stochastic control problem is considered and solved by the programming dynamic approach. Optimal benefit and investment strategies are analytically found and analyzed, both in finite and infinite horizons. A numerical illustration shows the effect of some parameters on the optimal strategies and the fund wealth.

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来源期刊

Insurance Mathematics & Economics 管理科学-数学跨学科应用

CiteScore

3.40

自引率

15.80%

发文量

审稿时长

17.3 weeks

期刊介绍： Insurance: Mathematics and Economics publishes leading research spanning all fields of actuarial science research. It appears six times per year and is the largest journal in actuarial science research around the world. Insurance: Mathematics and Economics is an international academic journal that aims to strengthen the communication between individuals and groups who develop and apply research results in actuarial science. The journal feels a particular obligation to facilitate closer cooperation between those who conduct research in insurance mathematics and quantitative insurance economics, and practicing actuaries who are interested in the implementation of the results. To this purpose, Insurance: Mathematics and Economics publishes high-quality articles of broad international interest, concerned with either the theory of insurance mathematics and quantitative insurance economics or the inventive application of it, including empirical or experimental results. Articles that combine several of these aspects are particularly considered.