带随机工资的目标收益养老金计划的鲁棒最优投资和收益支付调整策略  

Robust optimal investment and benefit payment adjustment strategy for target benefit pension plans with stochastic salary

作　　者：张欣茹 马世霞[1] 张雨萌 慕蕊 ZHANG Xinru;MA Shixia;ZHANG Yumeng;MU Rui(School of Science,Hebei University of Technology,Tianjin 300401,China)

机构地区：[1]河北工业大学理学院,天津300401

出　　处：《运筹学学报(中英文)》2025年第1期127-141,共15页Operations Research Transactions

基　　金：国家自然科学基金(No.12071107)。

摘　　要：本文在目标收益计划(TBPs)下考虑了具有违约风险和模型不确定性的最优投资和收益支付问题。养老金可以投资到无风险资产,价格服从Heston模型的股票和违约债券。特别地,TBPs成员的工资是随机的。利用随机最优控制方法,分别推导出了违约后和违约前的鲁棒最优策略和相应的值函数。此外,还考虑了模糊中性情况下的最优策略。最后给出数值分析来说明参数对最优策略的影响,从而为养老金管理者提供了有效的决策依据。This paper considers the optimal investment and benefit payment problem with default risk and model uncertainty under target benefit plans(TBPs).The pension funds can be invested in a risk-free asset,a stock whose price process follows Heston model and a defaultable bond.In particular,the salary of TBPs members is stochastic.Using the stochastic optimal control approach,we derive the robust optimal strategies as well as the corresponding value functions in the post-default and pre-default,respectively.Besides,we also consider the optimal strategies for the non-ambiguity case.Finally,numerical analysis is provided to illustrate the effects of parameters on the optimal strategies,which provides an effective decision-making basis for pension managers.

关 键 词：目标收益养老金计划 随机工资 模糊厌恶 违约风险 HAMILTON-JACOBI-BELLMAN方程 

分 类 号：O211[理学—概率论与数理统计]