违约风险下混合养老金的最优投资策略  

Optimal Investment Strategy of Hybrid Pension Under Default Risk

作　　者：王奕 王传玉[1] 刘帅 WANG Yi;WANG Chuanyu;LIU Shuai(School of Mathematics,Physics and Finance,Anhui Polytechnic University,Wuhu 241000,China)

机构地区：[1]安徽工程大学数理与金融学院,安徽芜湖241000

出　　处：《安徽工程大学学报》2022年第4期84-94,共11页Journal of Anhui Polytechnic University

基　　金：国家社会科学基金资助项目(20BTJ048);国家自然科学基金预研重点基金资助项目(XJKY08201901)。

摘　　要：本文给出了资产负债框架下的混合养老金计划安排,考虑违约风险下混合养老金计划总损失效用最小化问题,假设养老金资产可以投资于一种无风险资产、一种普通风险资产(如股票)和一种可违约债券。利用随机最优控制HJB方法,在指数型损失函数下推导出了封闭形式的解,即最优资产配置及最优缴费、支付调整。最后应用蒙特卡洛方法对结果进行数值模拟。结果表明,最优策略可以根据基金绩效和模型目标来调整缴款和退休福利,在价格过程中相关参数会对最优策略产生不同的影响。混合养老金计划模型能够确保目前和未来退休人员的稳定的福利支付,并随着时间的推移提供平稳的缴款和退休金支付,有利于养老金计划的持续运行。This paper presents,we give a hybrid pension scheme with the asset-liability framework,to solve the problem of minimizing the total loss utility of the hybrid pension scheme under the default risk,supposing pension assets can be invested in a risk-free asset,a common risk asset(such as stocks),and a defaultable bond.By using stochastic optimal control HJB method,the closed form solutions of optimal asset allocation and optimal contribution and benefits adjustment are derived under the exponential loss function.Finally,a numerical simulation of the results is carried out using the Monte Carlo method.The results show that the optimal strategy can adjust the contribution and retirement benefits according to the fund performance and model objectives,and the related parameters in the pricing process have different effects on the optimal strategy.The hybrid pension scheme model ensures stable benefit payments for current and future retirees and provides stable contributions and pension payments over time,which is conducive to the continued operation of the pension scheme.

关 键 词：混合养老金 资产负债管理 违约风险 可违约债券 

分 类 号：F832.48[经济管理—金融学]