A distribution phase investment model of defined contribution pensions and its monte carlo simulation

In a defined contribution pension scheme, a postponed investment model was established with one asset having no risk and the other having risk, under the terminal performance control. Dynamic plan theory and stochastic optimal control theory were used to obtain the optimal investment strategies and the analytical solution of personal fund under optimal investment strategies. The Monte Carlo simulation was used to examine the evolution of personal fund under optimal investment strategies. The sensitivity analysis of optimal investment strategies and final annuity level were made under different values of the object annuity level, postponed investment duration, and asset quality. Some good suggestions are obtained.