题   目：Optimal investment and benefit payment strategies for TB pension plans with stochastic interest rate under the HARA utility

报告人:  王一君 讲师

单   位：河南财经政法大学 

时   间：12月10日14：30

地   点：九章学堂南楼c座302

摘  要：This paper studies the optimal investment and benefit payment strategies for target benefit (TB) pension plans. The pension fund receives contributions from active members and pays benefits to retirees. Meanwhile, the accumulated wealth is invested in financial market consisting of one risk-free asset and one risky asset, in which the risk-free interest rate is described by the Vasicek model. The general hyperbolic absolute risk aversion (HARA) utility is adopted to describe pension fund managers’ risk preferences. Using the dynamic programming approach, we construct the Hamilton-Jacobi-Bellman (HJB) equation and obtain explicit expressions for optimal investment and benefit payment strategies using the Legendre transform-dual technique. Finally, numerical analysis is presented to illustrate the sensitivity of the optimal strategies to model parameters.

个人简介：王一君，女，经济学博士，河南财经政法大学金融学院讲师。主要研究方向为风险管理，保险精算，随机最优控制问题。在Journal of Industrial and Management Optimization、Communications in Statistics -Theory and Methods、International Journal of Control、《计量经济学报》等期刊发表学术论文。参研国家社会科学基金一般项目、国家自然科学基金青年项目等多项课题。主持教育部人文社科基金青年项目。研究成果获得湖南省技术经济与管理现代化研讨会优秀论文一等奖、湖南省研究生创新论坛—统计学分论坛优秀论文三等奖。