An Equilibrium Strategy for Target Benefit Pension Plans with a Longevity Trend and Partial Information
This paper considers the problem of portfolio selection and adjustment for target benefit plans (TBP) with longevity trends and partial information. The longevity trends are modeled by a time-varying force function. The financial market consists of risk-free assets and stocks, in which the return ra...
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| Format: | Article |
| Language: | English |
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MDPI AG
2023-07-01
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| Series: | Axioms |
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| Online Access: | https://www.mdpi.com/2075-1680/12/8/732 |
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| author | Wei Liu Na Li Ahmadjan Muhammadhaji |
| author_facet | Wei Liu Na Li Ahmadjan Muhammadhaji |
| author_sort | Wei Liu |
| collection | DOAJ |
| description | This paper considers the problem of portfolio selection and adjustment for target benefit plans (TBP) with longevity trends and partial information. The longevity trends are modeled by a time-varying force function. The financial market consists of risk-free assets and stocks, in which the return rate of stocks is a stochastic process and cannot be completely observed. This paper adopts the mean-variance utility model as an optimization criterion. The aim is to maximize the terminal value of the pension fund and the excess pension benefit after the participant’s retirement. The optimization equations are developed in game theory to obtain explicit solutions for the equilibrium strategies. Finally, the influence of the longevity trend on the internal structure of the pension system and the sensitivity of the equilibrium strategies to the related parameters are explored by numerical analysis. The conclusion shows that this model’s results can provide stable and adequate retirement benefits for participants. |
| first_indexed | 2024-03-11T00:07:33Z |
| format | Article |
| id | doaj.art-8465381ccf044c3a82308b34ae04241f |
| institution | Directory Open Access Journal |
| issn | 2075-1680 |
| language | English |
| last_indexed | 2024-03-11T00:07:33Z |
| publishDate | 2023-07-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Axioms |
| spelling | doaj.art-8465381ccf044c3a82308b34ae04241f2023-11-19T00:14:23ZengMDPI AGAxioms2075-16802023-07-0112873210.3390/axioms12080732An Equilibrium Strategy for Target Benefit Pension Plans with a Longevity Trend and Partial InformationWei Liu0Na Li1Ahmadjan Muhammadhaji2College of Mathematics and System Sciences, Xinjiang University, Urumqi 830017, ChinaCollege of Mathematics and System Sciences, Xinjiang University, Urumqi 830017, ChinaCollege of Mathematics and System Sciences, Xinjiang University, Urumqi 830017, ChinaThis paper considers the problem of portfolio selection and adjustment for target benefit plans (TBP) with longevity trends and partial information. The longevity trends are modeled by a time-varying force function. The financial market consists of risk-free assets and stocks, in which the return rate of stocks is a stochastic process and cannot be completely observed. This paper adopts the mean-variance utility model as an optimization criterion. The aim is to maximize the terminal value of the pension fund and the excess pension benefit after the participant’s retirement. The optimization equations are developed in game theory to obtain explicit solutions for the equilibrium strategies. Finally, the influence of the longevity trend on the internal structure of the pension system and the sensitivity of the equilibrium strategies to the related parameters are explored by numerical analysis. The conclusion shows that this model’s results can provide stable and adequate retirement benefits for participants.https://www.mdpi.com/2075-1680/12/8/732target benefit pension plansmean-variance utility modellongevity trendpartial information |
| spellingShingle | Wei Liu Na Li Ahmadjan Muhammadhaji An Equilibrium Strategy for Target Benefit Pension Plans with a Longevity Trend and Partial Information Axioms target benefit pension plans mean-variance utility model longevity trend partial information |
| title | An Equilibrium Strategy for Target Benefit Pension Plans with a Longevity Trend and Partial Information |
| title_full | An Equilibrium Strategy for Target Benefit Pension Plans with a Longevity Trend and Partial Information |
| title_fullStr | An Equilibrium Strategy for Target Benefit Pension Plans with a Longevity Trend and Partial Information |
| title_full_unstemmed | An Equilibrium Strategy for Target Benefit Pension Plans with a Longevity Trend and Partial Information |
| title_short | An Equilibrium Strategy for Target Benefit Pension Plans with a Longevity Trend and Partial Information |
| title_sort | equilibrium strategy for target benefit pension plans with a longevity trend and partial information |
| topic | target benefit pension plans mean-variance utility model longevity trend partial information |
| url | https://www.mdpi.com/2075-1680/12/8/732 |
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