模式转换下养老金投资与提前支取的博弈问题研究  

The study on a game involving investment and benefit strategy of pension plan under regime switching

作　　者：郝雪妍 闫明 HAO Xue-yan;YAN Ming(School of Data Science and Information Engineering,Guizhou Minzu University,Guiyang 550025,Guizhou,China;School of Management Engineering and Science,Tianjin University of Finance and Economics,Tianjin 300222,China)

机构地区：[1]贵州民族大学数据科学与信息工程学院,贵州贵阳550025 [2]天津财经大学管理工程与科学学院,天津300222

出　　处：《贵阳学院学报（自然科学版）》2020年第3期40-44,52,共6页Journal of Guiyang University：Natural Sciences

基　　金：国家自然科学基金项目“可导材料感应加热的最优控制理论研究”(项目编号:11761021);教育部人文社科项目“考虑代际公平和可持续发展的养老金管理问题研究—基于动态博弈模型的决策分析”(项目编号:19YJC630199)。

摘　　要：为了使得养老金计划对当前和未来的参与者都更具有吸引力,我们采用投资公司与工会的双方博弈模型。投资公司作为博弈的一方,通过投资来提高基金到期时收益。作为博弈的另一方,工会为了降低未来的不确定性,代表养老金计划参与者申请提前支取超额收益。在考虑市场的结构性波动(模式转换)的情况下,建立随机微分博弈模型,得到相关值函数与均衡策略的半解析形式。同时结合韩国市场1997-2012年的数据利用数值方法求解均衡策略,分析模式转换强度与参与者风险厌恶程度对投资与提前支取策略的影响。结果表明:不同于投资策略,提前支取策略会受到模式转换的影响。In order to make the pension plan more attractive to current and future participants,we adopt the game model with two players:the sponsoring firm and the union.The firm invests in the capital market to increase the return of the fund at maturity.On behalf of the participants of the plan,the union claims a share of the surplus before the maturity to reduce the uncertainty in the future.Considering the structural fluctuation of the market(regime switching),a stochastic differential game model is established to obtain the semi-analytic form of the value functions and equilibrium strategies of the two players.Using the data of the Korean market from 1997 to 2012,a numerical method is used to solve the equilibrium strategy,and the influence of the intensity of switching and the risk aversion on the strategies is analyzed.The result shows that:different from the investment strategy,the benefit strategy is affected by mode changes.

关 键 词：养老基金 基金盈余 模式转换 纳什均衡 

分 类 号：F842.6[经济管理—保险]