DC养老金计划中的最优投资和最优再保问题

摘要

在DC养老金计划的风险管理中,再保险和投资组合是风险转移和风险分散的合理方法.在给出了关于金融市场和人口统计学模型的合理假设之后,使用传统的动态规划原理写出了相应的HJB方程,并给出了方程的经典解,即给出了再保险和投资组合的动态最优策略.%In a defined contribution pension scheme,risks can be transferred by reinsurance to a reinsurer and also can be diversified by investment in financial market.After giving some assumptions of the financial instruments and the demographic pattern,the typical dynamic programming principle is used to find the optimal retention level and investment strategy.The closed form solutions of this stochastic control problem are given by solving the related Hamilton-Jacobi-Bellman equation.