CEV模型下目标收益型养老金的最优投资和支付策略  

Optimal investment and payment strategies for target benefit pension plans under a CEV model

作　　者：叶传秀[1] 石媛 赵永霞[2] YE Chuanxiu;SHI Yuan;ZHAO Yongxia(School of Mathematical Sciences;School of Statistics and Data Science,Qufu Normal University,273165,Qufu,Shandong,PRC)

机构地区：[1]曲阜师范大学数学科学学院 [2]曲阜师范大学统计与数据科学学院,山东省曲阜市273165

出　　处：《曲阜师范大学学报（自然科学版）》2024年第2期73-82,共10页Journal of Qufu Normal University(Natural Science)

基　　金：山东省自然科学基金(ZR2020MA035)。

摘　　要：该文研究了目标收益计划下养老金的最优投资策略和支付策略.养老金的支付取决于计划的财务状况,且风险由不同代人分担.养老基金可以投资于无风险资产和风险资产,其中风险资产价格由几何布朗运动模型推广为常方差弹性(CEV)模型来驱动.以最小化收益风险和福利风险的组合为目标,利用动态规划原理和HJB方程,推导出了最优投资策略和最优福利调整的闭型解.最后,数值实例分析了模型参数对控制问题的影响.In this paper,the optimal investment and benefit payment strategies for target benefit pension plans are considered.The pension payments depend on the financial situation of the plan with risk sharing between different generations.The surplus of pension fund is invested in both a risk-free asset and multiple risky assets whose price is described by a constant elasticity of variance(CEV)model instead of a geometric Brownian motion.With the objective of minimizing the combination of return risk and welfare risk,the closed-form solutions of the optimal investment strategy and optimal welfare adjustment are derived by the principles of dynamic programming and the HJB equation.

关 键 词：目标收益计划 最优投资 CEV模型 代际风险分担 

分 类 号：O211.6[理学—概率论与数理统计]