确定缴费养老计划退休后期最优投资决策
摘要
考虑到很多退休者不愿意在退休时立刻年金化,选择在未来的时刻进行年金化,以期购买到更好的年金,获得更好的退休保障,本文在离散时间模型框架下,研究确定缴费养老计划退休后期最优投资——年金化时刻决策问题。采用目标定位型模型,根据退休者设定的投资目标值,通过最小化实际财富与投资目标的累积差距,求出最优的投资策略。进而通过最大化退休者终身消费均值之和,求出最优化年金时刻。最后通过数值分析手段,研究风险偏好、折现率、终端偏差系数、年金价格对最优化年金时刻的影响。
引文
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[18]伍慧玲,董洪斌.带有通胀风险的退休后期最优投资管理[J].系统工程理论与实践,2018.38(8).
[2]Brown J R.Private pensions,mortality risk,and the decision to annuitize[J].Journal of Public Economics,2001.82(1).
[3]Chuangwei Lin,C W,Zeng L,Wu H L.Multi-period portfolio optimization in a defined contribution pension plan during the decumulation phase[J].Journal of Industrial and Management Optimization,2019.15(1).
[4]Dadashi H.Optimal investment-consumption problem post-retirement with a minimum guarantee[R].Cornell University,America,2018.
[5]Gerrard R,Haberman S,H jgaard B and Vigna E.The income drawdown option:Quadratic loss,Actuarial Research Paper No.155[R].Cass Business School,London,2004.
[6]Gerrard R,Haberman S,Vigna E.Optimal investment choices post-retirement in a defined contribution pension scheme[J].Insurance Mathematics and Economics,2004.35(2).
[7]Gerrard R,Haberman S and Vigna E.The management of decumulation risks in a defined contribution pension plan[J].North American Actuarial Journal,2006.10.
[8]Gerrard R,H jgaard B,Vigna E.Choosing the optimal annuitization time post-retirement[J].Quantitative Finance,2012.12(7).
[9]Koijen R S J and Yogo M.The cost of financial frictions for Life insurers[J].The American Economic Review,2016.1.
[10]Milevsky M A,Robinson C.Self-annuitization and ruin in retirement[J].North American Actuarial Journal,2000.4.
[11]Milevsky M A,Young V R.Annuitization and asset allocation[J].Journal of Economic Dynamics and Control,2007.31(9).
[12]Mirer T W.The dissaving of annuity wealth and marketable wealth in retirement[J].Review of Income and Wealth,1994.40.
[13]Mitchell O S,Poterba J M,Warshawsky M J.New evidence on the money's worth of individual annuities[R].National Bureau of Economic Research,1999.
[14]Mitchell O S,Poterba J M,Warshawsky M J,Brown J R.New evidence on the money’s worth of individual annuities[J].American Economic Review,1999.89(5).
[15]Stabile G.Optimal timing of the annuity purchase:combined stochastic control and optimal stopping problem[J].International Journal of Theoretical and Applied Finance,2006.9.
[16]Warshawsky M.Private annuity markets in the United States:1919-1984[J].Journal of Risk and Insurance,1988.55(3).
[17]Wolfram J H.Following the Rules:Intergrating assset allocation and annitization in retirement portfolios[J].Insurance:Mathematics and Economics,2008.42.
[18]伍慧玲,董洪斌.带有通胀风险的退休后期最优投资管理[J].系统工程理论与实践,2018.38(8).