Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076412 | Insurance: Mathematics and Economics | 2015 | 13 Pages |
Abstract
This paper studies a generalized multi-period mean-variance portfolio selection problem within the game theoretic framework for a defined-contribution pension scheme member. The member is assumed to have a stochastic salary flow and a stochastic mortality rate, and is allowed to invest in a financial market with one risk-free asset and one risky asset. The explicit expressions for the equilibrium investment strategy and equilibrium value function are obtained by backward induction. In addition, some sensitivity analysis and numerical illustrations are provided to show the effects of mortality risk on our results.
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Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Huiling Wu, Yan Zeng,