Defined Contribution Pension Planning with the Return of Premiums Clauses and HARA Preference in Stochastic Environments

作     者：Hao CHANG Xing-jiang CHEN Hao CHANG;Xing-jiang CHEN

作者机构：School of Mathematical SciencesTiangong UniversityTianjin 300387China Department of Mathematical SciencesSchool of EngineeringComputer and Mathematical SciencesAuckland University of TechnologyAucklandNew Zealand 

出 版 物：《Acta Mathematicae Applicatae Sinica》 (应用数学学报（英文版）)

年 卷 期：2023年第39卷第2期

页      面：396-423页

核心收录：

学科分类：12[管理学] 02[经济学] 0202[经济学-应用经济学] 1204[管理学-公共管理] 020204[经济学-金融学（含∶保险学）] 120404[管理学-社会保障] 

基　　金：supported by the National Social Science Foundation of China (No.21FJYB042) 

主　　题：defined contribution pension plan return of premiums clauses stochastic interest rate HARA preference Legendre transform-dual theory stochastic optimal control 

摘      要：This paper studies a defined contribution(DC)pension fund investment problem with return of premiums clauses in a stochastic interest rate and stochastic volatility *** practice,most of pension plans were subject to the return of premiums clauses to protect the rights of pension members who died before *** the mathematical modeling,we assume that a part of pension members could withdraw their premiums if they died before retirement and surviving members could equally share the difference between accumulated contributions and returned *** suppose that the financial market consists of a risk-free asset,a stock,and a zero-coupon *** interest rate is driven by a stochastic affine interest rate model and the stock price follows the Heston’s stochastic volatility model with stochastic interest *** fund managers have different risk preferences,and the hyperbolic absolute risk aversion(HARA)utility function is a general one including a power utility,an exponential utility,and a logarithm utility as special *** are concerned with an optimal portfolio to maximize the expected utility of terminal wealth by choosing the HARA utility function in the *** using the principle of dynamic programming and Legendre transform-dual theory,we obtain explicit solutions of optimal *** special cases are also derived in ***,a numerical simulation is provided to illustrate our results.