Robust optimal investment and benefit payment adjustment strategy for target benefit pension plans under default risk
Robust optimal investment and benefit payment adjustment strategy for target benefit pension plans under default risk
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违约风险下目标养老金计划稳健最优投资与给付调整策略
DOI：
10.1016/j.cam.2021.113382
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发表时间：
2021
影响因子：
2.4
通讯作者：
Wang Suxin
中科院分区：
文献类型：
--
作者：
Wang Peiqi;Rong Ximin;ZHao Hui;Wang Suxin
本文研究了具有违约风险和模型不确定性的目标收益计划的最优投资和收益支付问题。养老基金投资于无风险资产、股票和可违约债券。其目标是使财富和收益超出目标值的部分最大化或使财富和收益差距最小化，目标函数为指数函数。应用随机控制方法，分别建立了违约前和违约后情形下的Hamilton-Jacobi-Bellman方程。鲁棒最优投资策略和福利支付调整策略明确推导出的两种情况。我们还考虑了退化情况下的非模糊性模型，并比较了两种情况下的结果。数值分析说明了参数对最优策略的影响，并证明了策略的性质。(c)2021爱思唯尔有限公司版权所有。
In this paper, we consider the optimal investment and benefit payment problem for a target benefit plan (TBP) with default risk and model uncertainty. The pension fund is invested in a risk-free asset, a stock and a defaultable bond. The objective is to maximize the wealth and benefit excess from the target value or minimize the wealth and benefit gap from the target value with exponential function. Applying stochastic control approach, we establish the Hamilton-Jacobi-Bellman equations for both the post-default case and the pre-default case, respectively. Robust optimal investment strategies and benefit payment adjustment strategies are derived explicitly for the two cases. We also consider the non-ambiguity model for degenerate case and compare the results under two scenarios. Numerical analysis is provided to illustrate the effects of parameters on the optimal strategies and demonstrate the properties of the strategies. (c) 2021 Elsevier B.V. All rights reserved.