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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Main Authors: De-Lei Sheng, Ximin Rong
Format: Article
Language:English
Published: Hindawi Limited 2014-01-01
Series:Discrete Dynamics in Nature and Society
Online Access:http://dx.doi.org/10.1155/2014/862694
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spelling 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
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AT ximinrong optimaltimeconsistentinvestmentstrategyforadcpensionplanwiththereturnofpremiumsclausesandannuitycontracts
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