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

Author

Yao, Shuang ; Zhang, Zhan ; Huang, Weiqiang

Author_Institution

Sch. of Econ. & Manage., Shenyang Univ. of Chem. Technol., Shenyang, China

fYear

2011

fDate

8-10 Aug. 2011

Firstpage

870

Lastpage

873

Abstract

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.

Keywords

Monte Carlo methods; investment; optimal control; pensions; risk management; stochastic systems; Monte Carlo simulation; distribution phase investment model; dynamic plan theory; optimal investment strategy; postponed investment model; stochastic optimal control theory; Equations; Investments; Mathematical model; Optimal control; Pensions; Retirement; Stochastic processes; Monte Carlo simulation; a defined contribution pension scheme; asset quality; optimal investment strategy;

fLanguage

English

Publisher

ieee

Conference_Titel

Emergency Management and Management Sciences (ICEMMS), 2011 2nd IEEE International Conference on

Conference_Location

Beijing

Print_ISBN

978-1-4244-9665-5

Type

conf

DOI

10.1109/ICEMMS.2011.6015821

Filename

6015821