کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076374 | 1477206 | 2016 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
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چکیده انگلیسی
This paper studies the risk management in a defined contribution (DC)pension plan. The financial market consists of cash, bond and stock. The interest rate in our model is assumed to follow an Ornstein-Uhlenbeck process while the contribution rate follows a geometric Brownian Motion. Thus, the pension manager has to hedge the risks of interest rate, stock and contribution rate. Different from most works in DC pension plan, the pension manger has to obtain the optimal allocations under loss aversion and Value-at-Risk(VaR) constraints. The loss aversion pension manager is sensitive to losses while the VaR pension manager has to ensure the quality of wealth at retirement. Since these problems are not standard concave optimization problems, martingale method is applied to derive the optimal investment strategies. Explicit solutions are obtained under these two optimization criterions. Moreover, sensitivity analysis is presented in the end to show the economic behaviors under these two criterions.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 69, July 2016, Pages 224-237
Journal: Insurance: Mathematics and Economics - Volume 69, July 2016, Pages 224-237
نویسندگان
Guohui Guan, Zongxia Liang,