Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework

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      <subfield code="a">Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework</subfield>
      <subfield code="c">Guohui Guan, Zongxia Liang</subfield>
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      <subfield code="a">This paper investigates an optimal investment strategy of DC pension plan in a stochastic interest rate and stochastic volatility framework. We apply an affine model including the CoxIngersollRoss (CIR) model and the Vasicek mode to characterize the interest rate while the stock price is given by the Heston¿s stochastic volatility (SV) model. The pension manager can invest in cash, bond and stock in the financial market. Thus, the wealth of the pension fund is influenced by the financial risks in the market and the stochastic contribution from the fund participant. The goal of the fund manager is, coping with the contribution rate, to maximize the expectation of the constant relative risk aversion (CRRA) utility of the terminal value of the pension fund over a guarantee which serves as an annuity after retirement. We first transform the problem into a single investment problem, then derive an explicit solution via the stochastic programming method. Finally, the numerical analysis is given to show the impact of financial parameters on the optimal strategies.</subfield>
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      <subfield code="w">MAP20077100574</subfield>
      <subfield code="t">Insurance : mathematics and economics</subfield>
      <subfield code="d">Oxford : Elsevier, 1990-</subfield>
      <subfield code="x">0167-6687</subfield>
      <subfield code="g">07/07/2014 Volumen 57 Número 1 - julio 2014 </subfield>
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