Time-Consistent Investment and Benefit Adjustment Strategies for a Collective Dc Pension Plan with Stochastic Salary Under Smooth Ambiguity Utility PDF Download
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Author: Hui Zhao Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
This paper studies the optimal investment and benefit adjustment problem for a collective DC (CDC) pension plan in an environment with parameter uncertainty. We propose a smooth ambiguity framework to model the pension trustee's preferences towards risk and ambiguity. Since the pension trustee is ambiguous about the risky assets, she/he decides to invest in a risk-free asset, a purely risky asset and an ambiguous risky asset whose return is uncertain. Furthermore, we take the stochastic salary into account. The objective is to maximize the expectation of the accumulated benefit payment and terminal wealth under a smooth ambiguity utility which is the double power form. The utility function makes the problem time-inconsistent and we establish the extended HJB equation via game theoretic formulation. The equilibrium strategy and equilibrium value function are derived under smooth ambiguity. Finally, sensitivity analysis is provided to demonstrate the effects of model parameters on the equilibrium investment and benefit adjustment strategies.
Author: Hui Zhao Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
This paper studies the optimal investment and benefit adjustment problem for a collective DC (CDC) pension plan in an environment with parameter uncertainty. We propose a smooth ambiguity framework to model the pension trustee's preferences towards risk and ambiguity. Since the pension trustee is ambiguous about the risky assets, she/he decides to invest in a risk-free asset, a purely risky asset and an ambiguous risky asset whose return is uncertain. Furthermore, we take the stochastic salary into account. The objective is to maximize the expectation of the accumulated benefit payment and terminal wealth under a smooth ambiguity utility which is the double power form. The utility function makes the problem time-inconsistent and we establish the extended HJB equation via game theoretic formulation. The equilibrium strategy and equilibrium value function are derived under smooth ambiguity. Finally, sensitivity analysis is provided to demonstrate the effects of model parameters on the equilibrium investment and benefit adjustment strategies.
Author: Yufang Zhang Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
This paper studies the optimal investment and benefit adjustment problem for a collective DC pension plan under longevity trend. We assume that the mortality hazard rate is a function of age and time, which extends the Makeham's Law and can describe the longevity trend. The contribution rate is a predetermined proportion of average salary while the benefit payment depends on the pension wealth. The pension fund is allowed to invest in a risk-free asset and a risky asset whose price process satisfies the CEV model. The objective is expected utility maximization of terminal wealth and cumulative benefit. By applying dynamic programming approach, we establish the corresponding Hamilton-Jacobi-Bellman equation and obtain the optimal investment-benefit strategy for CARA and CRRA utilities, respectively. Finally, numerical example is provided to analyze the effects of parameters on the optimal strategies. The results show that under the CARA utility function, only the optimal benefit strategy is related to longevity trend, while under the CRRA utility function, longevity trend has effects on both the optimal benefit and investment strategies.
Author: Stacy L. Schaus Publisher: John Wiley & Sons ISBN: 1119298563 Category : Business & Economics Languages : en Pages : 390
Book Description
Start-to-finish guidance toward building and implementing a robust DC plan Successful Defined Contribution Investment Design offers a comprehensive guidebook for fiduciaries tasked with structuring and implementing a 401(k) or other defined contribution (DC) pension plan. More than a collection of the usual piecemeal information, this book seeks to offer a complete, contemporary framework for plan design, together with tested methodologies and analytic techniques to help streamline plan monitoring, management and improve participant outcomes. Examples from plan sponsors provide on-the-ground insight while suggestions from DC consultants add expert perspective. Views from ERISA expert counsel provide additional understanding—along with input from academic thought leaders. Finally, investment evaluation and analysis is joined with participant savings and asset allocation data to look prospectively at potential outcomes, and case studies illustrate real-world implementation of objective-aligned asset allocation such as custom target-date strategies. Though the focus is primarily on U.S. plan design, author perspectives from countries including Australia, the United Kingdom and Canada provide relevant and helpful viewpoints for both new and experienced plan fiduciaries. For the vast majority of workers, DC plans have replaced traditional defined benefit pension plans as the primary source of employer-provided retirement income. This book provides comprehensive guidance to help you construct a plan to help workers to retire with confidence. Adopt a framework for DC evaluation and structure Learn new methodologies for investment choice evaluation Use the innovative PIMCO Retirement Income Cost Estimate—or PRICE—to help quantify the amount of money a worker needs to create and stay on track to building a real income stream in retirement Examine methodologies used at major companies in the U.S. and globally DC plans are the most rapidly growing retirement market in the world, yet sources of consolidated structural and analytical guidance are lacking. Successful Defined Contribution Investment Design fills the gap with a comprehensive handbook that covers the bases to help you develop an objective-aligned defined contribution plan.
Author: Richard Hinz Publisher: World Bank Publications ISBN: 0821381601 Category : Business & Economics Languages : en Pages : 300
Book Description
Countries around the world are increasingly relying on individual pension savings accounts to provide income in old age for their citizens. Although these funds have now been in place for several decades, their performance is usually measured using methods that are not meaningful in relation to this long-term objective. The recent global financial crisis has highlighted the need to develop better performance evaluation methods that are consistent with the retirement income objective of pension funds. Compiling research derived from a partnership among the World Bank, the Organisation for Economic Co-operation and Development (OECD), and three private partners, 'Evaluating the Financial Performance of Pension Funds' discusses the theoretical basis and key implementation issues related to the design of performance benchmarks based on life-cycle savings and investment principles. The book begins with an evaluation of the financial performance of funded pension systems using the standard mean variance framework. It then provides a discussion of the limitations inherent to applying these methods to pension funds and outlines the many other issues that should be addressed in developing more useful and meaningful performance measures through the formulation of pension-specific benchmark portfolios. Practical implementation issues are addressed through empirical examples of how such benchmarks could be developed. The book concludes with commentary and observations from several noted pension experts about the need for a new approach to performance measurement and the impact of the recent global financial crisis on pension funds.
Author: Robert Holzmann Publisher: World Bank Publications ISBN: 082136166X Category : Business & Economics Languages : en Pages : 692
Book Description
This book presents 25 state of the art papers on the conceptual foundations and issues surrounding Non-financial, or Notional, Defined Contribution (NDC), country implementation of NDC (Italy, Latvia, Poland, and Sweden) and case studies for countries where NDC is figured in the reform debate. This book is intended to be a handbook for academics and policy makers who want to become informed about what NDC is and to learn about the pros and cons of this attractive reform proposal.
Author: Ioannis Nicolaos Kessides Publisher: World Bank Publications ISBN: Category : Business & Economics Languages : en Pages : 328
Book Description
Electricity, natural gas, telecommunications, railways, and water supply, are often vertically and horizontally integrated state monopolies. This results in weak services, especially in developing and transition economies, and for poor people. Common problems include low productivity, high costs, bad quality, insufficient revenue, and investment shortfalls. Many countries over the past two decades have restructured, privatized and regulated their infrastructure. This report identifies the challenges involved in this massive policy redirection. It also assesses the outcomes of these changes, as well as their distributional consequences for poor households and other disadvantaged groups. It recommends directions for future reforms and research to improve infrastructure performance, identifying pricing policies that strike a balance between economic efficiency and social equity, suggesting rules governing access to bottleneck infrastructure facilities, and proposing ways to increase poor people's access to these crucial services.
Author: Intergovernmental Panel on Climate Change Publisher: Cambridge University Press ISBN: 1107025060 Category : Business & Economics Languages : en Pages : 593
Book Description
Extreme weather and climate events, interacting with exposed and vulnerable human and natural systems, can lead to disasters. This Special Report explores the social as well as physical dimensions of weather- and climate-related disasters, considering opportunities for managing risks at local to international scales. SREX was approved and accepted by the Intergovernmental Panel on Climate Change (IPCC) on 18 November 2011 in Kampala, Uganda.
Author: Guillermo Perry Publisher: World Bank Publications ISBN: 0821370936 Category : Business & Economics Languages : en Pages : 270
Book Description
Analyzes informality in Latin America, exploring root causes and reasons for and implications of its growth. This book uses two distinct but complementary lenses. It concludes that reducing informality levels and overcoming the "culture of informality" will require actions to increase aggregate productivity in the economy.
Author: Marco Micocci Publisher: CRC Press ISBN: 1439817545 Category : Business & Economics Languages : en Pages : 766
Book Description
As pension fund systems decrease and dependency ratios increase, risk management is becoming more complex in public and private pension plans. Pension Fund Risk Management: Financial and Actuarial Modeling sheds new light on the current state of pension fund risk management and provides new technical tools for addressing pension risk from an integr
Author: Hui Zhao
Author: Hui Zhao
Author: Yufang Zhang
Author: Stacy L. Schaus
Author: Richard Hinz
Author: Robert Holzmann
Author: Ioannis Nicolaos Kessides
Author: Intergovernmental Panel on Climate Change
Author: Alejandro Izquierdo
Author: Guillermo Perry
Author: Marco Micocci