scholarly journals Optimal investment choices post-retirement in a defined contribution pension scheme

2004 ◽  
Vol 35 (2) ◽  
pp. 321-342 ◽  
Author(s):  
Russell Gerrard ◽  
Steven Haberman ◽  
Elena Vigna
Keyword(s):  
Optimal Investment ◽  
Pension Scheme ◽  
Defined Contribution ◽  
Investment Choices

OPTIMAL INVESTMENT FOR A DEFINED-CONTRIBUTION PENSION SCHEME UNDER A REGIME SWITCHING MODEL

2015 ◽  
Vol 45 (2) ◽  
pp. 397-419 ◽  
Author(s):  
An Chen ◽  
Łukasz Delong
Keyword(s):  
Asset Allocation ◽  
Regime Switching ◽  
Pension Plan ◽  
Optimal Investment ◽  
Investment Strategy ◽  
Switching Behavior ◽  
Pension Scheme ◽  
Defined Contribution ◽  
State Of The Economy ◽  
Plan Member

AbstractWe study an asset allocation problem for a defined-contribution (DC) pension scheme in its accumulation phase. We assume that the amount contributed to the pension fund by a pension plan member is coupled with the salary income which fluctuates randomly over time and contains both a hedgeable and non-hedgeable risk component. We consider an economy in which macroeconomic risks are existent. We assume that the economy can be in one ofIstates (regimes) and switches randomly between those states. The state of the economy affects the dynamics of the tradeable risky asset and the contribution process (the salary income of a pension plan member). To model the switching behavior of the economy we use a counting process with stochastic intensities. We find the investment strategy which maximizes the expected exponential utility of the discounted excess wealth over a target payment, e.g. a target lifetime annuity.

scholarly journals On the Effect of Inflation and Impact of Hedging on Pension Wealth Generation Strategies under the Geometric Brownian Motion Model

2019 ◽  
pp. 119-142
Author(s):  
Bright O. Osu ◽  
Kevin N. C. Njoku ◽  
Ben I. Oruh
Keyword(s):  
Utility Function ◽  
Pension Reform ◽  
Optimal Investment ◽  
Investment Strategy ◽  
Pension Scheme ◽  
Investment Strategies ◽  
Defined Contribution ◽  
Plan Member ◽  
The Impact ◽  
Pension Wealth

This work investigates the effect of Inflation and the impact of hedging on the optimal investment strategies for a prospective investor in a DC pension scheme, using inflation-indexed bond and inflation-linked stock. The model used here permits the plan member to make a defined contribution, as provided in the Nigerian Pension Reform Act of 2004. The pension plan member is allowed to invest in risk-free asset (cash), and two risky assets (i.e., the inflation-indexed bond and inflation-linked stock). A stochastic differential equation of the pension wealth that takes into account certain agreed proportions of the plan member’s salary, paid as contribution towards the pension fund, is constructed and presented. The Hamilton-Jacobi-Bellman (H-J-B) equation, Legendre transformation, and dual theory are used to obtain the explicit solution of the optimal investment strategies for CRRA utility function. Our investigation reveals that the inflation have significant negative effect on wealth investment strategies, particularly, the RRA(w) is not constant with the investment strategy, since the inflation parameters and coefficient of CRRA utility function have insignificant input on the investment strategies, and also the inflation-indexed bond and inflation-linked stock has a positive damping effect (hedging) on the severe effect of inflation.

The shift to the defined contribution pension scheme: an Italian case

2017 ◽  
Vol 9 (1) ◽  
pp. 72
Author(s):  
Massimo Angrisani ◽  
Giovanni Di Nella ◽  
Cinzia Di Palo
Keyword(s):  
Pension Scheme ◽  
Defined Contribution ◽  
Italian Case

scholarly journals DC Pension Plan with Refund of Contributions under Affine Interest Rate Model

2020 ◽  
pp. 1-16
Author(s):  
Udeme O. Ini ◽  
Obinichi C. Mandah ◽  
Edikan E. Akpanibah
Keyword(s):  
Interest Rate ◽  
Optimal Investment ◽  
Hjb Equation ◽  
Pension Scheme ◽  
Theoretic Approach ◽  
Rate Model ◽  
Risky Assets ◽  
Investment Plan ◽  
Interest Rate Model ◽  
The Impact

This paper studies the optimal investment plan for a pension scheme with refund of contributions, stochastic salary and affine interest rate model. A modified model which allows for refund of contributions to death members’ families is considered. In this model, the fund managers invest in a risk free (treasury) and two risky assets (stock and zero coupon bond) such that the price of the risky assets are modelled by geometric Brownian motions and the risk free interest rate is of affine structure. Using the game theoretic approach, an extended Hamilton Jacobi Bellman (HJB) equation which is a system of non linear PDE is established. Furthermore, the extended HJB equation is then solved by change of variable and variable separation technique to obtain explicit solutions of the optimal investment plan for the three assets using mean variance utility function. Finally, theoretical analyses of the impact of some sensitive parameters on the optimal investment plan are presented.

scholarly journals The Motherhood Pension Gap in a Defined Contribution Pension Scheme—the Case of Poland

2020 ◽  
Vol 12 (11) ◽  
pp. 4425 ◽  
Author(s):  
Anna Jędrzychowska ◽  
Ilona Kwiecień ◽  
Ewa Poprawska
Keyword(s):  
Gender Gap ◽  
Measurement Model ◽  
Future Research ◽  
Pension Scheme ◽  
Defined Contribution ◽  
Childless Woman ◽  
Second Child ◽  
Pension Systems ◽  
Gap Measurement ◽  
Individual Decisions

A gender gap in pensions has recently been discussed in the context of non-discrimination and the sustainability of pension systems. Such systems in Europe are evolving towards strengthening the role of individual contributions from periods of paid work. Among other factors, the women’s pension gap is affected by interruptions in employment arising from care responsibilities. The purpose of this article is to measure the pension gap associated with having children in defined contribution pension systems. Using financial mathematics, the retirement capital of a childless woman (without breaks in work) was determined and compared with mothers of 1–4 children. The results indicate that the motherhood pension gap is approximately 4.5%–9.5%, 7.5%–15%, 9%–20%, and 12.5%–25% for mothers of 1, 2, 3, and 4 children, respectively. Measuring these individual gaps allows the cost of investing in children to be estimated. Significant for systemic and individual decisions is that the gap size is highest by the first and the second child, however the decision about the third child—relevant to the demography as ensuring the generational replacement—means the whole pension gap could rise to 20%. This could help support a policy of counteracting adverse demographic trends in fertility rates through the building of socially sustainable pensions schemes. In terms of future research, it forms the basis for building a gap measurement model that takes into account various drivers of the gender gap.

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