| 摘要: |
| 针对非系统性风险（死亡率风险）和系统性风险（通货膨胀风险）在DC型养老金最优投资策略中产生的影响，提出了基于死亡率风险和通货膨胀下对冲负债的DC型养老金最优投资策略问题，其中死亡率危险和通货膨胀风险是相互独立的因素;假设养老金缴费成员退休前将养老金投资于股票市场和银行,通货膨胀、投资股票和银行的收益、成员工资以及养老金负债均为随机过程, 死亡率预测采用Lee-Carter模型;建立连续时间下的对冲负债的DC型养老金动态价值模型, 结合随机控制理论推出对应的HJB方程, 利用Legendre转化法得到基于死亡率和通货膨胀风险下对冲负债的DC型养老金最优投资比例, 最后通过数值模拟分析得到最优投资策略随着投资期限的增加受到通货膨胀风险的影响大于死亡率风险所产生的影响。 |
| 关键词: 死亡率 通货膨胀 最优投资策略；Legendre转化；HJB方程 |
| DOI： |
| 分类号: |
| 基金项目: |
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| Optimal Investment of DC Pension under Mortality and Inflation Risk |
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WANG Zhao, WANG Chuan-yu
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| Abstract: |
| According to the influence of non-systemic risk (mortality risk) and systemic risk (inflation risk) on the optimal investment of DC pension, among which mortality and inflation risk are independent of each other, the optimal investment strategy issue of DC pension hedging liability based on mortality risk and inflation is proposed. This paper assumes that the pension players invest their pension in stock market and banks before retirement, that inflation, returns from the investment in stock and banks, members’ salaries and pension liabilities are all stochastic process and that Lee-Carter Model is used to predict mortality, therefore, a DC pension dynamic value model for hedging liabilities under continuous time is established, the corresponding HJB equation is derived in the combination with stochastic control theory, and the optimal investment proportion of DC pension hedging liabilities based on mortality and inflation risk is obtained by using Legendre transform method. Finally, through numerical simulation, the paper analyzes the influence of the optimal investment strategy on the inflation risk more than on mortality risk with the increasing of investment period. |
| Key words: mortality inflation optimal investment strategy Legendre transform HJB equation |
