کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076465 | 1477208 | 2016 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model
ترجمه فارسی عنوان
استراتژی های سرمایه گذاری پیشگیرانه و تعادلی برای طرح های بازنشستگی تعریف شده تحت مدل پرش انتشار
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کلمات کلیدی
طرح بازنشستگی تعیین شده، استراتژی پیشگیرانه، استراتژی تعادل، معیار معیار واریانس، پرش فرآیند انتشار
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
چکیده انگلیسی
In this paper, we study an optimal investment problem under the mean-variance criterion for defined contribution pension plans during the accumulation phase. To protect the rights of a plan member who dies before retirement, a clause on the return of premiums for the plan member is adopted. We assume that the manager of the pension plan is allowed to invest the premiums in a financial market, which consists of one risk-free asset and one risky asset whose price process is modeled by a jump-diffusion process. The precommitment strategy and the corresponding value function are obtained using the stochastic dynamic programming approach. Under the framework of game theory and the assumption that the manager's risk aversion coefficient depends on the current wealth, the equilibrium strategy and the corresponding equilibrium value function are also derived. Our results show that with the same level of variance in the terminal wealth, the expected optimal terminal wealth under the precommitment strategy is greater than that under the equilibrium strategy with a constant risk aversion coefficient; the equilibrium strategy with a constant risk aversion coefficient is revealed to be different from that with a state-dependent risk aversion coefficient; and our results can also be degenerated to the results of He and Liang (2013b) and Björk et al. (2014). Finally, some numerical simulations are provided to illustrate our derived results.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 67, March 2016, Pages 158-172
Journal: Insurance: Mathematics and Economics - Volume 67, March 2016, Pages 158-172
نویسندگان
Jingyun Sun, Zhongfei Li, Yan Zeng,