论文标题
养老金计划中的寿命基础风险共享具有收入保证的养老金计划
Sharing of longevity basis risk in pension schemes with income-drawdown guarantees
论文作者
论文摘要
这项工作研究了养老金计划的随机最佳控制问题，该问题在退休后为其成员提供了收入的政策。为了有效地管理该计划，经理和成员同意根据预先决定的风险分享规则分享投资风险。目的是通过控制经理对风险资产和会员福利提款的投资来最大化双方的公用事业。我们使用随机仿射类模型来描述成员人口的死亡率，并考虑一种长寿债券，其优惠券支付与生存指数有关。在我们的框架中，我们还研究了寿命基依据的风险，这是成员和长寿债券的参考人群表现出不同的死亡率行为时会产生的。通过应用动态编程原理来求解相应的HJB方程，我们为单个和子群体案例提供了最佳解决方案。我们的数值结果表明，通过分享风险，经理和成员都增加了效用。此外，即使在存在寿命基础风险的情况下，我们也证明了寿命债券是一种有效的对冲工具。
This work studies a stochastic optimal control problem for a pension scheme which provides an income-drawdown policy to its members after their retirement. To manage the scheme efficiently, the manager and members agree to share the investment risk based on a pre-decided risk-sharing rule. The objective is to maximise both sides' utilities by controlling the manager's investment in risky assets and members' benefit withdrawals. We use stochastic affine class models to describe the force of mortality of the members' population and consider a longevity bond whose coupon payment is linked to a survival index. In our framework, we also investigate the longevity basis risk, which arises when the members' and the longevity bond's reference populations show different mortality behaviours. By applying the dynamic programming principle to solve the corresponding HJB equations, we derive optimal solutions for the single- and sub-population cases. Our numerical results show that by sharing the risk, both manager and members increase their utility. Moreover, even in the presence of longevity basis risk, we demonstrate that the longevity bond acts as an effective hedging instrument.
