2018/08/20 by Calisto Guambe, Rodwell Kufakunesu, Guambe, Calisto +5
Social Sciences · Business, Management and Accounting · Health Professions · #Insurance, Mortality, Demography, Risk Management #Financial Literacy, Pension, Retirement Analysis #Global Health Care Issues
paper · pdf · doi:10.48550/arxiv.1808.06337
We study an asset allocation stochastic problem with restriction for a\ndefined-contribution pension plan during the accumulation phase. We consider a\nfinancial market with stochastic interest rate, composed of a risk-free asset,\na real zero coupon bond price, the inflation-linked bond and the risky asset. A\nplan member aims to maximize the expected power utility derived from the\nterminal wealth. In order to protect the rights of a member who dies before\nretirement, we introduce a clause which allows to withdraw his premiums and the\ndifference is distributed among the survival members. Besides the mortality\nrisk, the fund manager takes into account the salary and the inflation risks.\nWe then obtain closed form solutions for the asset allocation problem using a\nsufficient maximum principle approach for the problem with partial information.\nFinally, we give a numerical example.\n