Optimal Time-Consistent Investment Strategy for a DC Pension Plan with the Return of Premiums Clauses and Annuity Contracts
Defined contribution and annuity contract are merged into one pension plan to study both accumulation phase and distribution phase, which results in such effects that both phases before and after retirement being “defined”. Under the Heston’s stochastic volatility model, this paper focuses on mean-v...
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Series: | Discrete Dynamics in Nature and Society |
Online Access: | http://dx.doi.org/10.1155/2014/862694 |
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doaj-61aca387721d4a2c98b7124d623b9c8c2020-11-24T21:22:22ZengHindawi LimitedDiscrete Dynamics in Nature and Society1026-02261607-887X2014-01-01201410.1155/2014/862694862694Optimal Time-Consistent Investment Strategy for a DC Pension Plan with the Return of Premiums Clauses and Annuity ContractsDe-Lei Sheng0Ximin Rong1Department of Mathematics, Tianjin University, Tianjin 300072, ChinaDepartment of Mathematics, Tianjin University, Tianjin 300072, ChinaDefined contribution and annuity contract are merged into one pension plan to study both accumulation phase and distribution phase, which results in such effects that both phases before and after retirement being “defined”. Under the Heston’s stochastic volatility model, this paper focuses on mean-variance insurers with the return of premiums clauses to study the optimal time-consistent investment strategy for the DC pension merged with an annuity contract. Both accumulation phase before retirement and distribution phase after retirement are studied. In the time-consistent framework, the extended Hamilton-Jacobi-Bellman equations associated with the optimization problem are established. Applying stochastic optimal control technique, the time-consistent explicit solutions of the optimal strategies and the efficient frontiers are obtained. In addition, numerical analysis illustrates our results and also deepens our knowledge or understanding of the research results.http://dx.doi.org/10.1155/2014/862694 |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
De-Lei Sheng Ximin Rong |
spellingShingle |
De-Lei Sheng Ximin Rong Optimal Time-Consistent Investment Strategy for a DC Pension Plan with the Return of Premiums Clauses and Annuity Contracts Discrete Dynamics in Nature and Society |
author_facet |
De-Lei Sheng Ximin Rong |
author_sort |
De-Lei Sheng |
title |
Optimal Time-Consistent Investment Strategy for a DC Pension Plan with the Return of Premiums Clauses and Annuity Contracts |
title_short |
Optimal Time-Consistent Investment Strategy for a DC Pension Plan with the Return of Premiums Clauses and Annuity Contracts |
title_full |
Optimal Time-Consistent Investment Strategy for a DC Pension Plan with the Return of Premiums Clauses and Annuity Contracts |
title_fullStr |
Optimal Time-Consistent Investment Strategy for a DC Pension Plan with the Return of Premiums Clauses and Annuity Contracts |
title_full_unstemmed |
Optimal Time-Consistent Investment Strategy for a DC Pension Plan with the Return of Premiums Clauses and Annuity Contracts |
title_sort |
optimal time-consistent investment strategy for a dc pension plan with the return of premiums clauses and annuity contracts |
publisher |
Hindawi Limited |
series |
Discrete Dynamics in Nature and Society |
issn |
1026-0226 1607-887X |
publishDate |
2014-01-01 |
description |
Defined contribution and annuity contract are merged into one pension plan to study both accumulation phase and distribution phase, which results in such effects that both phases before and after retirement being “defined”. Under the Heston’s stochastic volatility model, this paper focuses on mean-variance insurers with the return of premiums clauses to study the optimal time-consistent investment strategy for the DC pension merged with an annuity contract. Both accumulation phase before retirement and distribution phase after retirement are studied. In the time-consistent framework, the extended Hamilton-Jacobi-Bellman equations associated with the optimization problem are established. Applying stochastic optimal control technique, the time-consistent explicit solutions of the optimal strategies and the efficient frontiers are obtained. In addition, numerical analysis illustrates our results and also deepens our knowledge or understanding of the research results. |
url |
http://dx.doi.org/10.1155/2014/862694 |
work_keys_str_mv |
AT deleisheng optimaltimeconsistentinvestmentstrategyforadcpensionplanwiththereturnofpremiumsclausesandannuitycontracts AT ximinrong optimaltimeconsistentinvestmentstrategyforadcpensionplanwiththereturnofpremiumsclausesandannuitycontracts |
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1725996173170311168 |