Time-consistent pension policy with minimum guarantee and sustainability constraint  

作　　者：Caroline Hillairet Sarah Kaakar Mohamed Mrad 

机构地区：[1]CREST,UMR CNRS 9194,ENSAE,Institut Polytechnique de Paris,France [2]LMM,Institut du Risque et de I'Assurance,Le Mans Universite,France [3]LAGA,UMR CNRS 7539,Universite Sorbonne Paris Nord,France

出　　处：《Probability, Uncertainty and Quantitative Risk》2024年第1期35-64,共30页概率、不确定性与定量风险（英文）

基　　金：The authors's research is part of the ANR project DREAMeS(ANR-21-CE46-0002);The research of Sarah Kaakai is Funded by the European Union(ERC,SINGER,101054787)。

摘　　要：This paper proposes and investigates an optimal pair investment/pension policy for a pay-as-you-go(PAYG)pension scheme.The social planner can invest in a buffer fund in order to guarantee a minimal pension amount.The model aims at taking into account complex dynamic phenomena such as the demographic risk and its evolution over time,the time and age dependence of agents preferences,and financial risks.The preference criterion of the social planner is modeled by a consistent dynamic utility defined on a stochastic domain,which incorporates the heterogeneity of overlapping generations and its evolution over time.The preference criterion and the optimization problem also incorporate sustainability,adequacy and fairness constraints.The paper designs and solves the social planner's dynamic decision criterion,and computes the optimal investment/pension policy in a general framework.A detailed analysis for the case of dynamic power utilities is provided.

关 键 词：Consistent dynamic utility PAYG pension policy Sustainability and actuarial fairness Demographic and financial risk sharing Stochastic control 

分 类 号：O17[理学—数学]