Mathematics

CLC number: O211.67

Optimal Investment Strategies of Target Benefit Pension Plans Under Linear Rational Wishart Mortality Risk

目标收益养老金计划在线性理性Wishart死亡率风险下的最优投资策略

School of General Education and Foreign Studies, Anhui Institute of Information Technology, Wuhu 241000, Anhui, China

Received: 11 December 2024

Abstract

In this paper, we investigate the optimal investment strategy for a target-return pension plan under a Wishart model using stochastic optimal control methods. We consider the fact that mortality and interest rates are affected by a combination of systematic and idiosyncratic factors, which are modelled by a Wishart model with positive values. On this basis, we analyse the correlation between stochastic mortality and stochastic wage rates for plan members, as well as wage movements and financial market volatility. It is shown that financial market parameters and wage rates have a significant impact on the optimal investment strategy. We provide the optimal investment strategy and the optimal yield adjustment strategy for target-return pensions. This study provides a valuable reference for policy formulation and implementation of target-return pension plans in China.

摘要

本文基于随机最优控制方法，研究了Wishart模型下目标收益养老金计划的最优投资策略。考虑到死亡率和利率受系统性因素与个体特质因素的共同影响，采用取值为正的Wishart模型进行建模。在此基础上，分析了计划成员的随机死亡率与随机工资率之间的相关性，以及工资变动与金融市场波动的关联性。研究表明，金融市场参数和工资率对最优投资策略具有显著影响。本文为目标收益型养老金提供了最优投资策略和最优收益率调整策略，为中国目标收益养老金政策的制定与实施提供了重要参考。