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<p>This paper investigates the optimal investment and benefit adjustment problem for Collective Defined Contribution (CDC) pensions under mean-variance-utility. The retirement age is modeled with a piecewise function to represent a delayed retirement policy. It is assumed that the pension fund manager invests in a financial market consisting of risky and risk-free assets, where the price process of risky assets is described by a 4/2 stochastic volatility model. Under the optimization criterion of mean-variance-utility maximization, the optimal investment and benefit adjustment strategies are derived. By solving the expanded Hamilton-Jacobi-Bellman (HJB) equation, explicit solutions for the optimal strategies and value function are obtained. The numerical analysis is presented to illustrate the sensitivity of the optimal strategies to model parameters. The conclusion demonstrates that different utility functions can offer stable retirement benefits for the insured through corresponding the optimal adjustment.</p>

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Equilibrium strategies for collective DC pension plans with a delayed retirement under 4/2 stochastic volatility model

  • 期刊论文

  • 发表日期：

    2025年2月20日

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  • Lingxi Zhang,
  • Moyan Chen,
  • Wei Liu,
  • Yijun Hu

摘要

This paper investigates the optimal investment and benefit adjustment problem for Collective Defined Contribution (CDC) pensions under mean-variance-utility. The retirement age is modeled with a piecewise function to represent a delayed retirement policy. It is assumed that the pension fund manager invests in a financial market consisting of risky and risk-free assets, where the price process of risky assets is described by a 4/2 stochastic volatility model. Under the optimization criterion of mean-variance-utility maximization, the optimal investment and benefit adjustment strategies are derived. By solving the expanded Hamilton-Jacobi-Bellman (HJB) equation, explicit solutions for the optimal strategies and value function are obtained. The numerical analysis is presented to illustrate the sensitivity of the optimal strategies to model parameters. The conclusion demonstrates that different utility functions can offer stable retirement benefits for the insured through corresponding the optimal adjustment.