摘要
4/2随机波动率下的目标给付型养老金(target benefit pension,TBP)计划包含在职成员和退休成员,在职成员向养老基金缴纳固定费用,退休成员从基金中领取相应养老金,退休成员的给付水平取决于基金的投资情况。假设养老金可以投资于一种无风险资产和一种股票,股票的价格过程遵循4/2随机波动率模型。运用随机最优控制理论,得到最优投资和给付调整策略的显式解,应用数值算例分析各模型参数对最优投资和给付调整策略的影响。该研究为随机波动率模型下的其他复杂投资问题的解决提供方法论基础,也为基金管理者的资产配置和风险管理提供参考依据。
The target benefit pension(TBP)plan under 4/2 stochastic volatility model contains both the active members and the retired members,where the active members pay predetermined contributions to the pension fund and the retired members receive a corresponding pension from the fund,and the benefit payment level of the retired members depends on the investment situation.It is assumed that the pension fund can be invested in a risk-free asset and a stock,and the stock price follows the 4/2 stochastic volatility model.Applying the stochastic optimal control theory,explicit solutions for the optimal investment and benefit payment adjustment strategy are derived,and a numerical example is given to illustrate the results obtained.Methodological and theoretical support for solving other complex investment problems in a stochastic volatility environment,and the reference basis for asset allocation and risk management of fund managers are provided.
作者
韩婧怡
常浩
陈祯
HAN Jingyi;CHANG Hao;CHEN Zhen(School of Mathematical Sciences,Tiangong University,Tianjin 300387,China)
出处
《山东大学学报(理学版)》
北大核心
2025年第3期49-59,共11页
Journal of Shandong University(Natural Science)
基金
国家社会科学基金后期资助项目(21FJYB042)。
