| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076764 | Insurance: Mathematics and Economics | 2012 | 10 Pages |
Abstract
⺠We model the optimal asset allocation for DC pension plan under inflation. ⺠A minimum guarantee on the amount of retirement annuity is considered. ⺠We emphasize the importance of the inflation-indexed bond in the pension portfolio. ⺠The investments in indexed bonds would increase with the risk-aversion. ⺠The investments in indexed bonds would increase with the guarantee provided.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Nan-wei Han, Mao-wei Hung,