论文标题
深度神经网络，用于定义缴费养恤金系统中最佳退休消耗
Deep neural network for optimal retirement consumption in defined contribution pension system
论文作者
论文摘要
在本文中，我们开发了一种深层的神经网络方法来解决一生的预期死亡率加权基于实用性的模型，以在定义的贡献养老金系统的拆卸阶段进行最佳消耗。我们将此问题提出为多周期有限的摩托车随机控制问题，并训练代表消费决策的深度神经网络政策。最佳消费政策取决于有关退休人员的个人信息，例如年龄，财富，风险规避和遗赠动机，以及一系列经济和财务变量，包括通货膨胀率和资产回报，共同模拟了从市场数据中校准的拟议的七工厂经济场景生成器。我们以澳大利亚的养老金制度为例，考虑到政府资助的经济资助的年龄养老金和其他实际方面，例如基金管理费。我们的数值测试中的主要发现如下。首先，我们深层的神经网络最佳消费政策适应市场状况的变化，优于文献中提出的确定性缩减规则。此外，随着训练迭代次数的增加，样本外的表现比增加，最终在训练不到10分钟后在所有测试方案上都表现出色。其次，进行敏感性分析以揭示在该公用事业框架下，在退休人员一生中，风险规避和遗赠动机如何改变消费。第三，我们提供最佳的消费率，并具有不同的起始财富余额。我们观察到，由于年龄养老金支付，最佳消费率与初始财富不成比例。第四，由于死亡率的性别差异，具有相同的初始财富平衡和公用事业参数设置，男性和女性之间的最佳消费水平有所不同。
In this paper, we develop a deep neural network approach to solve a lifetime expected mortality-weighted utility-based model for optimal consumption in the decumulation phase of a defined contribution pension system. We formulate this problem as a multi-period finite-horizon stochastic control problem and train a deep neural network policy representing consumption decisions. The optimal consumption policy is determined by personal information about the retiree such as age, wealth, risk aversion and bequest motive, as well as a series of economic and financial variables including inflation rates and asset returns jointly simulated from a proposed seven-factor economic scenario generator calibrated from market data. We use the Australian pension system as an example, with consideration of the government-funded means-tested Age Pension and other practical aspects such as fund management fees. The key findings from our numerical tests are as follows. First, our deep neural network optimal consumption policy, which adapts to changes in market conditions, outperforms deterministic drawdown rules proposed in the literature. Moreover, the out-of-sample outperformance ratios increase as the number of training iterations increases, eventually reaching outperformance on all testing scenarios after less than 10 minutes of training. Second, a sensitivity analysis is performed to reveal how risk aversion and bequest motives change the consumption over a retiree's lifetime under this utility framework. Third, we provide the optimal consumption rate with different starting wealth balances. We observe that optimal consumption rates are not proportional to initial wealth due to the Age Pension payment. Forth, with the same initial wealth balance and utility parameter settings, the optimal consumption level is different between males and females due to gender differences in mortality.
