荣喜民
- 教师拼音名称：Rong Ximin
- 出生日期：1963-09-06
- 性别：男
- 职称：副教授
- 所属院系：数学学院
Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model
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- 所属单位:School of Sciences
- 发表刊物:INSURANCE MATHEMATICS & ECONOMICS
- 刊物所在地:NETHERLANDS
- 关键字:DC pension plan; Default risk; Constant elasticity of variance (CEV) model; Mean-variance criterion;
- 摘要:This paper considers an optimal investment problem for a defined contribution (DC) pension plan with default risk in a mean-variance framework. In the DC plan, contributions are supposed to be a predetermined amount of money as premiums and the pension funds are allowed to be invested in a financial market which consists of a risk-free asset, a defaultable bond and a risky asset satisfied a constant elasticity of variance (CEV) model. Notice that a part of pension members could die during the accumulation phase, and their premiums should be withdrawn.
- 合写作者:Li Danping, Rong Ximin, Zhao Hui, Yi Bo
- 第一作者:Li Danping
- 论文类型:Unit Twenty Basic Research
- 通讯作者:Yi Bo
- 论文编号:SCI: EJ9GH
- 卷号:72
- 期号:1
- 页面范围:6-20
- ISSN号:0167-6687
- 是否译文:否