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http://hdl.handle.net/10397/62264
| Title: | Multi-period defined contribution pension funds investment management with regime-switching and mortality risk | Authors: | Yao, H Chen, P Li, X |
Issue Date: | Nov-2016 | Source: | Insurance : mathematics and economics, Nov. 2016, v. 71, p. 103-113 | Abstract: | Using mean–variance criterion, we investigate a multi-period defined contribution pension fund investment problem in a Markovian regime-switching market. Both stochastic wage income and mortality risk are incorporated in our model. In a regime-switching market, the market mode changes among a finite number of regimes, and the market state process is modeled by a Markov chain. The key parameters, such as the bank interest rate, or expected returns and covariance matrix of stocks, will change according to the market state. By virtue of Lagrange duality technique, dynamic programming approach and matrix representation method, we derive expressions of efficient investment strategy and its efficient frontier in closed-form. Also, we study some special cases of our model. Finally, a numerical example based on real data from the American market sheds light on our theoretical results. | Keywords: | Contribution pension funds Dynamic programming Mortality risk Multi-period mean–variance Regime switching |
Publisher: | Elsevier | Journal: | Insurance : mathematics and economics | ISSN: | 0167-6687 | DOI: | 10.1016/j.insmatheco.2016.08.005 | Rights: | © 2016 Elsevier B.V. All rights reserved. © 2016. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/ The following publication Yao, H., Chen, P., & Li, X. (2016). Multi-period defined contribution pension funds investment management with regime-switching and mortality risk. Insurance: Mathematics and Economics, 71, 103-113 is available at https://doi.org/10.1016/j.insmatheco.2016.08.005 |
| Appears in Collections: | Journal/Magazine Article |
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