Asset Liability Management Problem of a Pension Fund within Cox-Ingersoll-Ross Interest Rate Model and Mortality Risk Framework

• Main Authors: WONG, KAI-WEN, 黃凱文
• Other Authors: SU, EN-DER
• Format: Others
• Language: en_US
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/535298

碩士 === 國立高雄第一科技大學 === 風險管理與保險系碩士班 === 105 === In this study, an asset-liability management (ALM) problem of a pension fund is studied by finding out the optimal dynamic allocation of the assets and liabilities with the considerations of mortality risk and a dividend policy under the Cox-Ingersoll-Ross interest rate model. The pension fund manager is responsible for determining the investment and dividend policies in order to maximize the expectation of the utility of dividends and the expectation of the utility of terminal surplus between the final total wealth and the final liability associated to the benefits committed to affiliates under a budget constraint. The financial market consists three kinds of assets: cashes, rolling bonds and stocks with the interest rates are driven by Cox-Ingersoll-Ross dynamic process. The mortality risk of the affiliates is modeled by a Poison process. By the implementation of Lagrange multiplier method to the ALM problem of the pension fund and owing to the market incompleteness of mortality risk, we derive the approximation of optimal solution to the ALM problem with power utility (CRRA) based on the stochastic dynamic programming method.