系统管理学报

系统管理学报 ›› 2020, Vol. 29 ›› Issue (4): 617-628.DOI: 10.3969/j.issn.1005-2542.2020.04.001

• 金融工程 •    下一篇

Heston模型下考虑工资风险和保费退还条款的DC型养老金时间一致性投资策略

李方超，张成科，朱怀念   

  1. 广东工业大学 管理学院；广东工业大学 经济与贸易学院，广州 510520
  • 出版日期:2020-07-29 发布日期:2020-08-07
  • 通讯作者: 朱怀念（1985?），男，博士，副教授。
  • 作者简介:李方超（1993?），男，博士生。研究方向为动态博弈理论及应用
  • 基金资助:

    国家自然科学基金资助项目（71571053，71803029）；

    广东省自然科学基金资助项目（2016A030313701，2018A030313687，2019A1515011473）

Time-Consistent Investment Strategy for DC Pension with Salary Risk and Premium Refund Clauses in Heston Model

LI Fangchao, ZHANG Chengke, ZHU Huainian   

  1. a. School of Management; b. School of Economics and Commence, Guangdong University of Technology, Guangzhou 510520, China
  • Online:2020-07-29 Published:2020-08-07

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摘要：

DC型养老金投资者通常可以将保费投资于金融市场中无风险资产、风险资产以及通胀指数化债券3种资产。在均值-方差准则下，为了充分考虑市场风险因素和保障参保人利益，将通胀风险、波动风险、工资风险以及保费退还条款引进投资模型中。利用博弈论思想和随机最优控制技术，通过求解一个扩展HJB方程组，得到了最优时间一致性投资策略和有效前沿的解析表达。最后，通过数值分析比较了有、无保费退还条款两种情形下的最优投资策略。此外，还分析了一些主要参数对最优投资策略和有效前沿的影响，并给出了经济意义上的解释。

关键词: DC型养老金, 工资风险, 最优时间一致性投资策略, 保费退还, 均值-方差准则

Abstract:

DC (defined contribution) pension investors can usually invest premiums in three assets in the financial market: risk-free assets, risky assets, and inflation-linked bonds. In this paper, under the mean-variance criterion, in order to fully consider the market risk factors and protect the interests of the insured, the inflation risk, volatility risk, salary risk, and premium refund clause are introduced into the investment model. Besides, by using the game theory and the stochastic optimal control technique, the explicit solutions to the optimal time-consistent investment strategy and the efficient frontier are obtained by solving an extended HJB equation. Moreover, the optimal investment strategy in the two cases with and without the premium refund clause is compared by numerical analysis. Furthermore, the effect of some main parameters on the optimal investment strategy and efficient frontier is analyzed, and economic interpretations are given.

Key words: DC （defined contribution） pension, salary risk, optimal time-consistent investment strategy, premium refund, mean-variance criterion

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