کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5077627 | 1374140 | 2007 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts](/preview/png/5077627.png)
چکیده انگلیسی
The paper focuses on the constant elasticity of variance (CEV) model for studying a defined-contribution pension plan where benefits are paid by annuity. It also presents the process by which the Legendre transform and dual theory can be applied to find an optimal investment policy for a participant's whole life in the pension plan. Finally, it reveals two explicit solutions for the logarithm utility function in two different periods (before and after retirement). Hence, the optimal investment strategies in the two periods are obtained.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 40, Issue 2, March 2007, Pages 302-310
Journal: Insurance: Mathematics and Economics - Volume 40, Issue 2, March 2007, Pages 302-310
نویسندگان
Jianwu Xiao, Zhai Hong, Chenglin Qin,