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Start Over Descriptor "stochastic optimal control" Topic annuities Journal applied mathematics & mechanics

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1 results on '"stochastic optimal control"'

1. Constant elasticity of variance model and analytical strategies for annuity contracts.

Author

Xiao Jian-wu, Yin Shao-hua, and Qin Cheng-lin

Subjects
*DEFINED contribution pension plans, *EMPLOYEE benefits, *ANNUITIES, *LEGENDRE'S functions, *PORTFOLIO management (Investments), *INVESTMENT policy
Abstract

The constant elasticity of variance(CEV) model was constructed to study a defined contribution pension plan where benefits were paid by annuity. It also presents the process that the Legendre transform and dual theory can be applied to find an optimal investment policy during a participant’s whole life in the pension plan. Finally, two explicit solutions to exponential utility function in the two different periods (before and after retirement) are revealed. Hence, the optimal investment strategies in the two periods are obtained. [ABSTRACT FROM AUTHOR]

Published
2006
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