Management of a pension fund under mortality and financial risks
(2007) Insurance: Mathematics and Economics — Vol. 41, n° 1, p. 134-155 (2007)
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- Abstract
- The purpose of this article is to analyze the dividend policy and the asset allocation of a pension fund. We consider a financial market composed of three assets: cash, stocks and a rolling bond. Interest rates are driven by Vasicek's model whereas the mortality of the insured population is modelled by a Poisson process. We determine investment and dividend policies maximizing the utility of dividends and of terminal surplus under a budget constraint. In particular, solutions are developed for CRRA and CARA utility functions. The methodology is based both on the Cox and Huang's approach and on the dynamic programming principle. (C) 2006 Elsevier B.V. All rights reserved.
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Hainaut, D., & Devolder, P. (2007). Management of a pension fund under mortality and financial risks. Insurance: Mathematics and Economics, 41(1), 134-155. https://doi.org/10.1016/j.insmatheco.2006.10.014 (Original work published 2007)