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《Chinese Journal of Management Science》 2015-08
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Optimal Asset Allocation and Benefit Outgo Policies of the DC Pension Plan

HE Lin;The School of Finance,Renmin University of China;  
In the paper,the optimal asset allocation and benefit outgo policies of the pension management are proposed to maximize the utility of the pension member after retirement.It is the first time to explore the actuarial principles of the mortality credit in the pension management framework.The square deviation between the actual and the expected benefit outgo is chosen as the objective functions.Using HJB variational methods,the optimal asset allocation and the benefit outgo policies are established.According to the simulation results,the accumulation of the pension fund has positive influence on the optimal benefit outgo as well as the proportion allocated on the risk-free asset.Meanwhile,the expected benefit outgo has negative influence on the proportion allocated on the risk-free asset.
【Fund】: 2013年社科基金重大项目(13&ZD164);; 北京市教委“北京市高校青年英才计划”(YETP0181)
【CateGory Index】: F275
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