带随机工资的目标收益养老金计划的鲁棒最优投资和收益支付调整策略

doi:10.15960/j.cnki.issn.1007-6093.2025.01.011

Abstract

Abstract:

This paper considers the optimal investment and benefit payment problem with default risk and model uncertainty under target benefit plans~(TBPs). The pension funds can be invested in a risk-free asset, a stock whose price process follows Heston model and a defaultable bond. In particular, the salary of TBPs members is stochastic. Using the stochastic optimal control approach, we derive the robust optimal strategies as well as the corresponding value functions in the post-default and pre-default, respectively. Besides, we also consider the optimal strategies for the non-ambiguity case. Finally, numerical analysis is provided to illustrate the effects of parameters on the optimal strategies, which provides an effective decision-making basis for pension managers.

Key words: target benefit pension plans, stochastic salary, ambiguity aversion, default risk, Hamilton-Jacobi-Bellman equation

CLC Number:

O211

Xinru ZHANG, Shixia MA, Yumeng ZHANG, Rui MU. Robust optimal investment and benefit payment adjustment strategy for target benefit pension plans with stochastic salary[J]. Operations Research Transactions, 2025, 29(1): 127-141.

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References 21

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Robust optimal investment and benefit payment adjustment strategy for target benefit pension plans with stochastic salary

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