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.
作者
张欣茹
马世霞
张雨萌
慕蕊
ZHANG Xinru;MA Shixia;ZHANG Yumeng;MU Rui(School of Science,Hebei University of Technology,Tianjin 300401,China)
出处
《运筹学学报(中英文)》
北大核心
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)。
