Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
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具有Cobb-Douglas效用和Epstein-Zin递归效用的目标福利养老金计划的最优投资与福利调整问题
DOI：
10.1016/j.ejor.2021.11.033
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发表时间：
2021-11
影响因子：
6.4
通讯作者：
Wang Suxin
中科院分区：
文献类型：
--
作者：
Zhao Hui;Wang Suxin
研究了目标收益养老金计划的最优投资和收益调整问题。养老金发起人可以调整养老金水平，以保证养老金计划的稳定运行。养老金可以投资于无风险债券和股票。在目标函数中考虑了福利支出和养老金财富的加权乘积，并采用柯布-道格拉斯效用的形式。因此，该计划同时考虑到养恤金的福利水平和最终财富，然后福利支付取决于该计划的财务状况。应用动态规划方法，建立了相应的Hamilton-Jacobi-Bellman方程，并显式地导出了最优投资收益策略和价值函数。提出并证明了验证定理。此外，递归效用被认为是一个扩展，我们发现，跨期替代弹性有一个积极的影响，最优收益水平。最后，数值算例表明，该养老金计划是可持续的，可以提供稳定的和连续的增量支付给后代。
This paper studies an optimal investment and benefit adjustment problem for a target benefit pension plan. The pension sponsor can adjust the benefit level to guarantee the stable operation of the plan. The pension is allowed to invest in a risk-free bond and a stock. The weighted product of the benefit outgo and pension wealth is considered in the objective function, which is taken in the form of Cobb-Douglas utility. Thus the plan takes both the benefit level and terminal wealth of the pension into account and then the benefit payment are dependent on the financial situation of the plan. By applying dynamic programming approach, we establish the corresponding Hamilton-Jacobi-Bellman equation and derive the optimal investment-benefit strategy and the value function explicitly. The verification theorem is presented and proved. Furthermore, the recursive utility is considered as an extension and we find that the elasticity of intertemporal substitution has a positive effect on the optimal benefit level. Finally, numerical examples are given and demonstrate that this pension scheme is sustainable and can provide stable and consecutive incremental benefit payment for future generations.
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DOI：
10.1016/j.jpubeco.2007.07.008
发表时间：
2007-04
期刊：
CESifo Working Paper Series
影响因子：
--
作者：
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通讯作者：
C. Gollier
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DOI：
10.1016/j.insmatheco.2020.07.005
发表时间：
2020-09
期刊：
Insurance: Mathematics and Economics
影响因子：
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作者：
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通讯作者：
Fengyi Yuan
DOI：
10.2139/ssrn.2677205
发表时间：
2015-09
期刊：
Pension Risk Management eJournal
影响因子：
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作者：
Damiaan H. J. Chen;R. Beetsma;Dirk Broeders
通讯作者：
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影响因子：
1.6
作者：
MERTON, RC
通讯作者：
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影响因子：
1.9
作者：
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通讯作者：
Ricardo Josa-Fombellida;J. P. Rincón-Zapatero