CONSTANT ELASTICITY OF VARIANCE MODEL AND ANALYTICAL STRATEGIES FOR ANNUITY CONTRACTS

CONSTANT ELASTICITY OF VARIANCE MODEL AND ANALYTICAL STRATEGIES FOR ANNUITY CONTRACTS

The constant elasticity of variance（CEV） model was constructed to study a defined contribution pension plan where benefits were paid by annuity. It also presents the process that the Legendre transform and dual theory can be applied to find an optimal investment policy during a participant＇s whole l...

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Veröffentlicht in:Applied mathematics and mechanics 2006-11, Vol.27 (11), p.1499-1506
1. Verfasser: 肖建武 尹少华 秦成林
Format: Artikel
Sprache:eng
Schlagworte:
CEV模型
Contracts
Elasticity
Investment
Legendre转换
Mathematical analysis
Mathematical models
Optimization
Strategy
Utilities
分析策略
数学经济
随机最优控制
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Zusammenfassung:The constant elasticity of variance（CEV） model was constructed to study a defined contribution pension plan where benefits were paid by annuity. It also presents the process that the Legendre transform and dual theory can be applied to find an optimal investment policy during a participant＇s whole life in the pension plan. Finally, two explicit solutions to exponential utility function in the two different periods （before and after retirement） are revealed. Hence, the optimal investment strategies in the two periods are obtained.
ISSN:0253-4827
1573-2754
DOI:10.1007/s10483-006-1107-z