Volume 55, 2021Regular articles published in advance of the transition of the journal to Subscribe to Open (S2O). Free supplement sponsored by the Fonds National pour la Science Ouverte
|Page(s)||S2983 - S2997|
|Published online||02 March 2021|
Alpha-robust mean-variance investment strategy for DC pension plan with uncertainty about jump-diffusion risk
Key Laboratory of Advanced Theory and Application in Statistics and Data Science-MOE, School of Statistics, East China Normal University, Shanghai 200062, P.R. China
2 Shanghai Heran Education Technology Company Limited, Shanghai 201900, P.R. China
* Corresponding author: firstname.lastname@example.org
Accepted: 14 November 2020
This paper considers an α-robust optimal investment problem for a defined contribution (DC) pension plan with uncertainty about jump and diffusion risks in a mean-variance framework. Our model allows the pension manager to have different levels of ambiguity aversion, rather than only consider the extremely ambiguity-averse attitude. Moreover, in the DC pension plan, contributions are supposed to be a predetermined amount of money as premiums and the pension funds are allowed to be invested in a financial market which consists of a risk-free asset, and a risky asset satisfying a jump-diffusion process. Notice that a part of pension members could die during the accumulation phase, and their premiums should be withdrawn. Thus, we consider the return of premiums clauses by an actuarial method and assume that the surviving members will share the difference between the return and the accumulation equally. Taking account of the pension fund size and the volatility of the accumulation, a mean-variance criterion as the investment objective for the DC plan can be formulated. By applying a game theoretic framework, the equilibrium investment strategies and the corresponding equilibrium value functions can be obtained explicitly. Economic interpretations are given in the numerical simulation, which is presented to illustrate our results.
Mathematics Subject Classification: 91B28 / 91B30 / 93E20
Key words: α-Maxmin mean-variance criterion / robust DC pension investment problem / time-consistent equilibrium strategy / return of premiums clauses
© EDP Sciences, ROADEF, SMAI 2021
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