Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model

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Affiliation of Author(s):School of Sciences

Journal:INSURANCE MATHEMATICS & ECONOMICS

Place of Publication:NETHERLANDS

Key Words:DC pension plan; Default risk; Constant elasticity of variance (CEV) model; Mean-variance criterion;

Abstract: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 Notice that a part of pension members could die during the accumulation phase, and their premiums should be withdrawn.

All the Authors:Li Danping, Rong Ximin, Zhao Hui, Yi Bo

First Author:Li Danping

Indexed by:Unit Twenty Basic Research

Correspondence Author:Yi Bo

Document Code:SCI: EJ9GH

Volume:72

Issue:1

Page Number:6-20

ISSN No.:0167-6687

Translation or Not:no